uroot (version 1.4-1)

factorsdiff: Factor Seasonal Differencing Filter

Description

Factor seasonal differencing filter in quarterly and monthly time series.

Usage

factorsdiff (wts, factors)

Arguments

wts

a univariate time series object.

factors

the factors of the seasonal differencing filter to apply to the data.

Value

• A list containing: Data of the filtered series, coefficients and lags of the polynomial that configure the filter.

Details

fators is a 0-1 vector of length $S/2+1$, where $S$ is the periodicity of the time series. The frequencies are ordered in the vector as follows: c(zero, pi, pi/2) for quarterly series and c(zero, pi, pi/2, 2pi/3, pi/3, 5pi/6, pi/6) for monthly series.

A zero in the element i of the vector indicates that the cycle associated to the corresponding frequency will not be filtered. The cycles related to frequencies that are set equal to 1 are filtered.

See Also

plotcycles.

Examples

## Filter seasonal frequencies.
    data(AirPassengers)
    factorsdiff(wts=AirPassengers, factors=c(0,1,1,1,1,1,1))