simts (version 0.2.2)

lts: Generate a Latent Time Series Object from Data

Description

Create a lts object based on a supplied matrix or data frame. The latent time series is obtained by the sum of underlying time series.

Usage

lts(
  data,
  start = 0,
  end = NULL,
  freq = 1,
  unit_ts = NULL,
  unit_time = NULL,
  name_ts = NULL,
  name_time = NULL,
  process = NULL
)

Value

A lts object

Arguments

data

A multiple-column matrix or data.frame. It must contain at least 3 columns of which the last represents the latent time series obtained through the sum of the previous columns.

start

A numeric that provides the time of the first observation.

end

A numeric that provides the time of the last observation.

freq

A numeric that provides the rate/frequency at which the time series is sampled. The default value is 1.

unit_ts

A string that contains the unit of measure of the time series. The default value is NULL.

unit_time

A string that contains the unit of measure of the time. The default value is NULL.

name_ts

A string that provides an identifier for the time series data. Default value is NULL.

name_time

A string that provides an identifier for the time. Default value is NULL.

process

A vector that contains model names of each column in the data object where the last name is the sum of the previous names.

Author

Wenchao Yang and Justin Lee

Examples

model1 = AR1(phi = .99, sigma2 = 1) 
model2 = WN(sigma2 = 1)
col1 = gen_gts(1000, model1)
col2 = gen_gts(1000, model2)
testMat = cbind(col1, col2, col1+col2)
testLts = lts(testMat, unit_time = 'sec', process = c('AR1', 'WN', 'AR1+WN'))
plot(testLts)