ASSA (version 2.0)

mitsframe: Multivariate Interval Valued Time Series Frame Objects

Description

The function mitsframe is used to create interval-valued multivariate time series objects.

Usage

mitsframe(dates, A, B)

Arguments

dates

a vector of dates at which observations took place.

A

matrix with time series in columns (dimensions) and observations in rows corresponding to the lowest values. Data must be sorted in ascendant way (first row in 'A' corresponds to the oldest values of the series and last row in 'A' corresponds to the newest values).

B

matrix with time series in columns (dimensions) and observations in rows corresponding to the lowest values. Data must be sorted in ascendant way (first row in 'A' corresponds to the oldest values of the series and last row in 'A' corresponds to the newest values).

References

de Carvalho, M. and Martos, G. (2020). Modeling Interval Trendlines: Symbolic Singular Spectrum Analysis for Interval Time Series. Submitted (available on arXiv).

Examples

# NOT RUN {
muX.a = function(t){ 8 + t + sin(pi*t) }    ;    muX.b = function(t){ muX.a(t) + 2 } 
muY.a = function(t){sqrt(t) + cos(pi*t/2) }    ;  muY.b = function(t){ 2*muY.a(t) + 2 }
N = 100; t=seq(0.1,2*pi,length = N);
set.seed(1)
e.x = rnorm(100); e.y = rnorm(100);
a.X = muX.a(t) + e.x; b.X = a.X + 2
a.Y = muY.a(t) + e.y        ; b.Y = 2*a.Y + 2

A <- cbind(a.X, a.Y); B <- cbind(b.X, b.Y)
y <- mitsframe(dates=t, A=A, B = B)

plot(y) # standard plot.
# }