factorsdiff {uroot} | R Documentation |
Factor seasonal differencing filter in quarterly and monthly time series.
factorsdiff (wts, factors)
wts |
a univariate time series object. |
factors |
the factors of the seasonal differencing filter to apply to the data. |
fators
is a 0-1 vector of length S/2+1, where S is the periodicity of the time series.
The frequencies are ordered in the vector as follows: c(zero, pi, pi/2) for quarterly series and c(zero,
pi, pi/2, 2pi/3, pi/3, 5pi/6, pi/6) for monthly series.
A zero in the element i
of the vector indicates that the cycle associated to the corresponding
frequency will not be filtered. The cycles related to frequencies that are set equal to 1 are filtered.
A list containing: Data of the filtered series, coefficients and lags of the polynomial that configure the filter.
Javier López-de-Lacalle javlacalle@yahoo.es and Ignacio Díaz-Emparanza Ignacio.Diaz-Emparanza@ehu.es.
## Filter seasonal frequencies. data(AirPassengers) factorsdiff(wts=AirPassengers, factors=c(0,1,1,1,1,1,1))