Calculate the theoretically optimal temporal aggregation level for AR(1), MA(1) and ARMA(1,1) time series.
getOptK(y, m = 12, type = c("ar", "ma", "arma"))
Identified optimal temporal aggregation level.
a time series that must be of either ts
or msts
class.
maximum aggregation level.
type of data generating process. Can be:
"ar"
: For AR(1) series.
"ma"
: For MA(1) series.
"arma"
: For ARMA(1,1) series.
Nikolaos Kourentzes, nikolaos@kourentzes.com.
Kourentzes, N., Rostami-Tabar, B., & Barrow, D. K. (2017). Demand forecasting by temporal aggregation: using optimal or multiple aggregation levels?. Journal of Business Research, 78, 1-9.
Rostami-Tabar, B., Babai, M. Z., Syntetos, A., & Ducq, Y. (2013). Demand forecasting by temporal aggregation. Naval Research Logistics (NRL), 60(6), 479-498.
Rostami-Tabar, B., Babai, M. Z., Syntetos, A., & Ducq, Y. (2014). A note on the forecast performance of temporal aggregation. Naval Research Logistics (NRL), 61(7), 489-500.