TSPred (version 5.1.1)

pct: Percentage Change Transformation

Description

The pct() function returns a transformation of the provided time series using a Percentage Change transformation. pct.rev() reverses the transformation.

Usage

pct(x)
pct.rev(p, xi, addinit = TRUE)

Value

A vector of length length(x)-1 containing the transformed values.

Arguments

x

A numeric vector or univariate time series of class ts.

p

A numeric vector or univariate time series of percentage changes. Possibly returned by pct().

xi

Initial value/observation of x (x[1]). First known non-transformed value used to recursively obtain the original series.

addinit

If TRUE, xi is included in the return.

Author

Rebecca Pontes Salles

Details

The Percentage Change transformation is given approximately by $$ log(x[2:n] / x[1:(n-1)] ) = log( x[2:n] ) - log( x[1:(n-1)] ) $$ where n=length(x).

References

R.H. Shumway and D.S. Stoffer, 2010, Time Series Analysis and Its Applications: With R Examples. 3rd ed. 2011 edition ed. New York, Springer.

See Also

Other transformation methods: Diff(), LogT(), WaveletT(), emd(), mas(), mlm_io(), outliers_bp(), train_test_subset()

Examples

data(NN5.A)
ts <- na.omit(NN5.A[,10])
length(ts)

p <- pct(ts)
length(p)

p_rev <- pct.rev(p, attributes(p)$xi)

all(round(p_rev,4)==round(ts,4))