Function generates the matrix of dummy variables for the months / weeks / days / hours / minutes / seconds of year / month / week / day / hour / minute.
temporaldummy(object, ...)# S3 method for default
temporaldummy(object, type = c("month", "quarter", "week",
"day", "hour", "halfhour", "minute", "second"), of = c("year", "quarter",
"month", "week", "day", "hour", "minute"), factors = FALSE, h = 0, ...)
# S3 method for ts
temporaldummy(object, type = c("month", "quarter", "week",
"day", "hour", "halfhour", "minute", "second"), of = c("year", "quarter",
"month", "week", "day", "hour", "minute"), factors = FALSE, h = 0, ...)
# S3 method for Date
temporaldummy(object, type = c("month", "quarter", "week",
"day", "hour", "halfhour", "minute", "second"), of = c("year", "quarter",
"month", "week", "day", "hour", "minute"), factors = FALSE, h = 0, ...)
# S3 method for POSIXt
temporaldummy(object, type = c("month", "quarter", "week",
"day", "hour", "halfhour", "minute", "second"), of = c("year", "quarter",
"month", "week", "day", "hour", "minute"), factors = FALSE, h = 0, ...)
# S3 method for zoo
temporaldummy(object, type = c("month", "quarter", "week",
"day", "hour", "halfhour", "minute", "second"), of = c("year", "quarter",
"month", "week", "day", "hour", "minute"), factors = FALSE, h = 0, ...)
One of the two is returned, depending on the value of factors variable:
factors=FALSE: Class "dgCMatrix" with all the dummy variables is returned
in case of numeric variable. Feel free to drop one (making it a reference variable) or
convert the object into matrix (this will consume more memory than the returned class).
In other cases the object of the same class as the provided is returned.
factors=TRUE: The categorical variable (factor) containing specific values
for each observation.
Either a ts / msts / zoo / xts / tsibble object or a vector of dates.
Other parameters.
Specifies what type of frequency to produce. For example, if
type="month", then the matrix with dummies for months of the year will
be created.
Specifies the frequency of what is needed. Used together with type
e.g. type="day" and of="month" will produce a matrix with dummies
for days of month (31 dummies).
If TRUE, the function will return the categorical variable
instead of the matrix with dummies.
If not NULL, then the function will produce dummies for this
set of observations ahead as well, binding them to the original matrix.
Ivan Svetunkov, ivan@svetunkov.ru
The function extracts dates from the provided object and returns a matrix with dummy variables for the specified frequency type, with the number of rows equal to the length of the object + the specified horizon. If a numeric vector is provided then it will produce dummies based on typical values (e.g. 30 days in month). So it is recommended to use proper classes with this method.
Several notes on how the dummies are calculated in some special cases:
In case of weeks of years, the first week is defined according to ISO 8601.
Note that not all the combinations of type and of are supported. For
example, there is no such thing as dummies for months of week. Also note that some
combinations are not very useful and would take a lot of memory (e.g. minutes of year).
The function will return all the dummy variables. If you want to avoid the dummy variables trap, you will need to exclude one of them manually.
If you want to have a different type of dummy variables, let me know, I will implement it.
xregExpander, xregMultiplier,
outlierdummy
# Generate matrix with dummies for a ts object
x <- ts(rnorm(100,100,1),frequency=12)
temporaldummy(x)
# Generate matrix with monthly dummies for a zoo object
x <- as.Date("2003-01-01")+0:99
temporaldummy(x, type="month", of="year", h=10)
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