Diff {TSPred} | R Documentation |
Differencing Transformation
Description
The Diff()
function returns a simple or seasonal differencing
transformation of the provided time series. Diff.rev()
reverses the
transformation. Wrapper functions for diff
and
diffinv
of the stats
package, respectively.
Usage
Diff(
x,
lag = ifelse(type == "simple", 1, stats::frequency(x)),
differences = NULL,
type = c("simple", "seasonal"),
...
)
Diff.rev(
x,
lag = ifelse(type == "simple", 1, stats::frequency(x)),
differences = 1,
xi,
type = c("simple", "seasonal"),
addinit = TRUE
)
Arguments
x |
A numeric vector or univariate time series containing the values to be differenced. |
lag |
Integer indicating the lag parameter. Default set to |
differences |
Integer representing the order of the difference. If
|
type |
Character string. Indicates if the function should perform simple or seasonal differencing. |
... |
Additional arguments passed to |
xi |
Numeric vector or time series containing the initial values for the integrals. If missing, zeros are used. |
addinit |
If |
Value
x
if differences
is automatically selected, and is not
set as greater than 0
. Same as diff
otherwise.
Author(s)
Rebecca Pontes Salles
References
R.J. Hyndman and G. Athanasopoulos, 2013, Forecasting: principles and practice. OTexts.
R.H. Shumway and D.S. Stoffer, 2010, Time Series Analysis and Its Applications: With R Examples. 3rd ed. 2011 edition ed. New York, Springer.
See Also
Other transformation methods:
LogT()
,
WaveletT()
,
emd()
,
mas()
,
mlm_io()
,
outliers_bp()
,
pct()
,
train_test_subset()
Examples
data(CATS)
d <- Diff(CATS[,1], differences = 1)
x <- Diff.rev(as.vector(d), differences = attributes(d)$differences, xi = attributes(d)$xi)
all(round(x,4)==round(CATS[,1],4))