seasonaldummy

0th

Percentile

Seasonal dummy variables

seasonaldummy and seasonaldummyf return matrices of dummy variables suitable for use in arima, lm or tslm. The last season is omitted and used as the control.

fourier and fourierf return matrices containing terms from a Fourier series, up to order K, suitable for use in arima, lm or tslm.

Keywords
ts
Usage
seasonaldummy(x)
seasonaldummyf(x,h)
fourier(x,K)
fourierf(x,K,h)
Arguments
x
Seasonal time series
h
Number of periods ahead to forecast
K
Maximum order of Fourier terms
Value

  • Numerical matrix with number of rows equal to the length(x) and number of columns equal to frequency(x)-1 (for seasonaldummy and seasonaldummyf or 2*K (for fourier or fourierf).

Aliases
  • seasonaldummy
  • seasonaldummyf
  • fourier
  • fourierf
Examples
plot(ldeaths)

# Using seasonal dummy variables
month <- seasonaldummy(ldeaths)
deaths.lm  <- tslm(ldeaths ~ month)
tsdisplay(residuals(deaths.lm))
ldeaths.fcast <- forecast(deaths.lm, 
  data.frame(month=I(seasonaldummyf(ldeaths,36))))
plot(ldeaths.fcast)

# A simpler approach to seasonal dummy variables
deaths.lm  <- tslm(ldeaths ~ season)
ldeaths.fcast <- forecast(deaths.lm, h=36)
plot(ldeaths.fcast)

# Using Fourier series
X <- fourier(ldeaths,3)
deaths.lm  <- tslm(ldeaths ~ X)
ldeaths.fcast <- forecast(deaths.lm, 
  data.frame(X=I(fourierf(ldeaths,3,36))))
plot(ldeaths.fcast)
Documentation reproduced from package forecast, version 3.24, License: GPL (>= 2)

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