interv_covariate
Describing Intervention Effects for Time Series with Deterministic Covariates
Generates covariates describing certain types of intervention effects according to the definition by Fokianos and Fried (2010).
 Keywords
 Intervention detection
Usage
interv_covariate(n, tau, delta)
Arguments
 n
 integer value giving the number of observations the covariates should have.
 tau
 integer vector giving the times where intervention effects occur.
 delta

numeric vector with constants specifying the type of intervention (see Details). Must be of the same length as
tau
.
Details
The intervention effect occuring at time $\tau$ is described by the covariate $$X_t = \delta^{t\tau} I_{[\tau,\infty)}(t),$$ where $I(t>=\tau)$ is the indicator function which is 0 for $t < \tau$ and 1 for $t >= \tau$. The constant $\delta$ with $0 <= \delta="" <="1$" specifies="" the="" type="" of="" intervention.="" for="" $\delta="0$" intervention="" has="" an="" effect="" only="" at="" time="" its="" occurence,="" $0="" 1$="" decays="" exponentially="" and="" there="" is="" a="" persistent="" after="" occurence.<="" p="">
If tau
and delta
are vectors, one covariate is generated with tau[1]
as $\tau$ and delta[1]
as $\delta$, another covariate for the second elements and so on.
Value

A matrix with
n
rows and length(tau)
columns. The generated covariates describing the interventions are the columns of the matrix.
References
Fokianos, K. and Fried, R. (2010) Interventions in INGARCH processes. Journal of Time Series Analysis 31(3), 210225, http://dx.doi.org/10.1111/j.14679892.2010.00657.x.
Fokianos, K., and Fried, R. (2012) Interventions in loglinear Poisson autoregression. Statistical Modelling 12(4), 299322. http://dx.doi.org/10.1177/1471082X1201200401.
Liboschik, T., Kerschke, P., Fokianos, K. and Fried, R. (2014) Modelling interventions in INGARCH processes. International Journal of Computer Mathematics (published online), http://dx.doi.org/10.1080/00207160.2014.949250.
See Also
tsglm
for fitting a GLM for time series of counts.
interv_test
, interv_detect
and interv_multiple
for tests and detection procedures for intervention effects.
Examples
interv_covariate(n=140, tau=c(84,100), delta=c(1,0))