tstransform

Includes the Box Cox, logit, softplus-logit and sigmoid transforms.
Returns a list of functions for the transform and its inverse.

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

tstransform function

<dl><dt>method</dt>
<dd>valid methods are currently &#8220;box-cox&#8221;,
&#8220;logit&#8221;, &#8220;softplus-logit&#8221; and &#8220;sigmoid&#8221;.</dd>
<dt>lambda</dt>
<dd>parameter in the Box Cox transformation.</dd>
<dt>lower</dt>
<dd>lower bound for the transformations.</dd>
<dt>upper</dt>
<dd>upper bound for the transformations.</dd>
<dt>...</dt>
<dd>additional arguments taken by the transformations.</dd></dl>

Arguments

Author

General transformation function — tstransform

<dl>

<dt>method</dt>
<dd>valid methods are currently &#8220;box-cox&#8221;,
&#8220;logit&#8221;, &#8220;softplus-logit&#8221; and &#8220;sigmoid&#8221;.</dd>


<dt>lambda</dt>
<dd>parameter in the Box Cox transformation.</dd>


<dt>lower</dt>
<dd>lower bound for the transformations.</dd>


<dt>upper</dt>
<dd>upper bound for the transformations.</dd>


<dt>...</dt>
<dd>additional arguments taken by the transformations.</dd>

</dl>

tstransform: General transformation function

Description

Usage

Value

Arguments

Author