hts (version 4.4)

gts: Create a grouped time series

Description

Method for creating grouped time series.

Usage

gts(y, groups, gnames = rownames(groups), characters)

Arguments

y

A matrix or multivariate time series contains the bottom level series.

groups

Group matrix indicates the group structure, with one column for each series when completely disaggregated, and one row for each grouping of the time series. It allows either a numerical matrix or a matrix consisting of strings that can be used for

gnames

Specify the group names.

characters

A vector of integers, or a list containing vectors of integers, indicating the segments in which bottom level names can be read in order to construct the corresponding grouping matrix and its labels. A list class is used when a group

Value

• bts
  Multivariate time series contains the bottom level series
• groups
  Information about the groups of a grouped time series
• labels
  Information about the labels that are used for plotting.

References

R. J. Hyndman, R. A. Ahmed, G. Athanasopoulos and H.L. Shang (2011) Optimal combination forecasts for hierarchical time series. Computational Statistics and Data Analysis, 55(9), 2579--2589. http://robjhyndman.com/papers/hierarchical/

See Also

hts, accuracy.gts, forecast.gts, plot.gts

Examples

# Example 1 illustrating the usage of the "groups" argument
abc <- ts(5 + matrix(sort(rnorm(1600)), ncol = 16, nrow = 100))
sex <- rep(c("female", "male"), each = 8)
state <- rep(c("NSW", "VIC", "QLD", "SA", "WA", "NT", "ACT", "TAS"), 2)
gc <- rbind(sex, state)  # a matrix consists of strings.
gn <- rbind(rep(1:2, each = 8), rep(1:8, 2))  # a numerical matrix
rownames(gc) <- rownames(gn) <- c("Sex", "State")
x <- gts(abc, groups = gc)
y <- gts(abc, groups = gn)

# Example 2 with two simple hierarchies (geography and product) to show the argument "characters"
bnames1 <- c("VICMelbAA", "VICMelbAB", "VICGeelAA", "VICGeelAB",  
             "VICMelbBA", "VICMelbBB", "VICGeelBA", "VICGeelBB",
             "NSWSyndAA", "NSWSyndAB", "NSWWollAA", "NSWWollAB", 
             "NSWSyndBA", "NSWSyndBB", "NSWWollBA", "NSWWollBB")
bts1 <- matrix(ts(rnorm(160)), ncol = 16)
colnames(bts1) <- bnames1
x1 <- gts(bts1, characters = list(c(3, 4), c(1, 1)))

# Example 3 with a non-hierarchical grouped time series of 3 grouping variables (state, age and sex)
bnames2 <- c("VIC1F", "VIC1M", "VIC2F", "VIC2M", "VIC3F", "VIC3M",
             "NSW1F", "NSW1F", "NSW2F", "NSW2M", "NSW3F", "NSW3M")
bts2 <- matrix(ts(rnorm(120)), ncol = 12)
colnames(bts2) <- bnames2
x2 <- gts(bts2, characters = c(3, 1, 1))