TSPred (version 5.1)

pct: Percentage Change Transformation

Description

The pct() function returns a transformation of the provided time series using a Percentage Change transformation. pct.rev() reverses the transformation.

Usage

pct(x)
pct.rev(p, xi, addinit = TRUE)

Arguments

x

A numeric vector or univariate time series of class ts.

p

A numeric vector or univariate time series of percentage changes. Possibly returned by pct().

xi

Initial value/observation of x (x[1]). First known non-transformed value used to recursively obtain the original series.

addinit

If TRUE, xi is included in the return.

Value

A vector of length length(x)-1 containing the transformed values.

Details

The Percentage Change transformation is given approximately by $$ log(x[2:n] / x[1:(n-1)] ) = log( x[2:n] ) - log( x[1:(n-1)] ) $$ where n=length(x).

References

R.H. Shumway and D.S. Stoffer, 2010, Time Series Analysis and Its Applications: With R Examples. 3rd ed. 2011 edition ed. New York, Springer.

See Also

Other transformation methods: Diff(), LogT(), WaveletT(), emd(), mas(), mlm_io(), outliers_bp(), train_test_subset()

Examples

# NOT RUN {
data(NN5.A)
ts <- na.omit(NN5.A[,10])
length(ts)

p <- pct(ts)
length(p)

p_rev <- pct.rev(p, attributes(p)$xi)

all(round(p_rev,4)==round(ts,4))

# }