predtoolsTS (version 0.1.1)

prep: Automatic pre-preprocessing

Description

This function performs pre-processing on a time series object(ts) to treat heterocedasticity, trend and seasonality in order to make the serie stationary.

Usage

prep(tserie, homogenize.method = "log", detrend.method = "differencing",
  nd = NULL, deseason.method = "differencing", nsd = NULL,
  detrend.first = TRUE)

Arguments

tserie

A ts object.

homogenize.method

A string. Current methods available are "log" and "boxcox". Method "log" is set as default. If you don't want to perform this transformation, set method as "none".

detrend.method

A string. Current methods available are "differencing" and "sfsm". Method "differencing" is set as default. If you don't want to perform this transformation, set method as "none".

nd

A number. Number of differences you want to apply to the "differencing" detrending method. As default its value is NULL, which means nd will be calculated internally.

deseason.method

A string. Current methods available are "differencing". Method "differencing" is set as default. If you don't want to perform this transformation, set method as "none".

nsd

A number. Number of seasonal differences you want to apply to the "differencing" deseasoning method. As default its value is NULL, which means nsd will be calculated internally.

detrend.first

A boolean. TRUE if detrending method is applied first, then deseasoning. FALSE if deseasoning method is applied first. Default is TRUE.

Value

A list is returned of class prep containing:

tserie

Processed ts object.

homogenize.method

Method used for homogenizing.

detrend.method

Method used for detrending.

nd

Number of differences used on detrending through differencing.

firstvalues

First nd values of the original series.

deseason.method

Method used for deseasoning.

nsd

Number of seasonal differences used on deseasoning through differencing.

firstseasons

First nsd seasons of the original series.

detrend.first

Processed ts object

means

Vector of means used in "sfsm" detrending method.

lambda

Coefficient used in "boxcox" transformation.

start

Start of the original time serie.

length

Length of the original time serie.

Details

Returns an object prep which stores all data needed to undo the changes later on.

This function provides an automatic way of pre-processing based on unit root tests, but this is not the perfect way to do it. You should always check manually if the given time serie is actually stationary, and modify the parameters according to your thoughts.

References

https://www.otexts.org/fpp/8/1

See Also

prep.homogenize.log, prep.homogenize.boxcox, prep.detrend.differencing, prep.detrend.sfsm, prep.deseason.differencing, prep.check.acf, prep.check.adf

Examples

# NOT RUN {
prep(AirPassengers)
prep(AirPassengers,homogenize.method='boxcox',detrend.method='none')
# }