R: Time Series Magnitude Test

VERIFY_MAGNITUDE {bimets}

R Documentation

Time Series Magnitude Test

Description

Given a time series list, this function returns list indices that refer to time serie having a magnitude greater than the user provided value. Magnitude M is defined as M = sqrt(sum(X_i^2)), given X_i the time series values. Missing values will be discarded with a warning message.

This function can be useful in comparing list of time series, e.g. differences between historical and simulated endogenous variables of an econometric model.

Usage

VERIFY_MAGNITUDE(x=list(), 
                magnitude=10e-7, 
                verbose=TRUE, 
                ...)

Arguments

`x`	Input list, having elements as time series of class `ts` or `xts`.
`magnitude`	A positive number that is the maximum magnitude allowed.
`verbose`	If `TRUE`, output messages will be printed out.
`...`	Backward compatibility.

Value

This function returns the list indices related to time series that have a magnitude grater than the magnitude user argument.

Examples

		
	#create ts
	ts1=TSERIES((1:10)*0.1, START=c(2000,1), FREQ=1)
	ts2=TSERIES((1:10)*0.01, START=c(2001,1), FREQ=4)
	ts3=TSERIES(c((1:10)*0.001,NA), START=c(2002,1), FREQ=12)
	
	myList=list(t1=ts1,t2=ts2,t3=ts3)
	
	print(VERIFY_MAGNITUDE(myList,magnitude=0.1))