initialize_simulator

A suite of auxiliary functions that enhance time series estimation and forecasting, including a robust anomaly detection routine based on Chen and Liu (1993) <doi:10.2307/2290724> (imported and wrapped from the 'tsoutliers' package), utilities for managing calendar and time conversions, performance metrics to assess both point forecasts and distributional predictions, advanced simulation by allowing the generation of time series components—such as trend, seasonal, ARMA, irregular, and anomalies—in a modular fashion based on the innovations form of the state space model and a number of transformation methods including Box-Cox, Logit, 'Softplus-Logit' and Sigmoid.

Alexios Ghalanos

tsaux

Time Series Forecasting Auxiliary Functions

Alexios Galanos

initialize_simulator function

<dl><dt>x</dt>
<dd>a vector of zero mean errors to use in the model.</dd>
<dt>index</dt>
<dd>an optional Date or POSIXct vector of same length as x. Used
for indexing the simulated values.</dd>
<dt>sampling</dt>
<dd>an optional string denoting the sampling frequency for the
simulator. If no index is present, will automatically generate one based on
the sampling frequency given with start date 2000-01-01. Valid sampling
frequencies are days, weeks, months, years, secs, mins, hours and subintervals
of those as documented in the <code><a href="/link/seq.POSIXt?package=tsaux&version=1.0.0" data-mini-rdoc="tsaux::seq.POSIXt">seq.POSIXt</a></code> function.</dd>
<dt>model</dt>
<dd>the type of model to initialize a class for.</dd>
<dt>...</dt>
<dd>additional parameters to the function (not currently used).</dd></dl>

Arguments

Simulator Initializer — initialize_simulator

<dl>

<dt>x</dt>
<dd>a vector of zero mean errors to use in the model.</dd>


<dt>index</dt>
<dd>an optional Date or POSIXct vector of same length as x. Used
for indexing the simulated values.</dd>


<dt>sampling</dt>
<dd>an optional string denoting the sampling frequency for the
simulator. If no index is present, will automatically generate one based on
the sampling frequency given with start date 2000-01-01. Valid sampling
frequencies are days, weeks, months, years, secs, mins, hours and subintervals
of those as documented in the <code><a href='https://rdrr.io/r/base/seq.POSIXt.html'>seq.POSIXt</a></code> function.</dd>


<dt>model</dt>
<dd>the type of model to initialize a class for.</dd>


<dt>...</dt>
<dd>additional parameters to the function (not currently used).</dd>

</dl>

initialize_simulator: Simulator Initializer

Description

Usage

Value

Arguments