| chktrans {SLBDD} | R Documentation |
Check for Possible Non-linear Transformations of a Multiple Time Series
Description
Check for possible non-linear transformations of a multiple time series, series by series.
Usage
chktrans(x, block = 0, output = FALSE, period = 1, pv = 0.05)
Arguments
x |
T by k data matrix: T data points in rows with each row being data at a given time point, and k time series in columns. |
block |
Number of blocks used in the linear regression. Default value is floor(sqrt(T)). |
output |
If TRUE it returns the estimates, the code: log, sqrt and No-trans and the numbers of non-linear transformations. Default is TRUE. |
period |
Seasonal period. |
pv |
P-value = pv/log(1 + k) is used to check the significance of the coefficients. Default value is 0.05. |
Details
Each series is divided into a given number of consecutive blocks and in each of them the mean absolute deviation (MAD) and the median are computed. A regression of the log of the MAD with respect to the log of the median is run and the slope defines the non-linear transformation.
Value
A list containing:
lnTran - Column locations of series that require log-transformation.
sqrtTran - Column locations of series that require square-root transformation.
noTran - Column locations of series that require no transformation.
tran - A vector indicating checking results, where 0 means no transformation, 1 means log-transformation, 2 means square-root transformation.
tranX Transformed series. This is only provided if the number of series requiring transformation is sufficiently large, i.e. greater than
2kpv.Summary Number of time series that require log-transformation, square-root transformation and no transformation.
Examples
data(TaiwanAirBox032017)
output <- chktrans(TaiwanAirBox032017[,1])