InterventionVar {tfarima}

Intervention variables

Description

InterventionVar creates an intervention variable to capture the effect of an external event.

Usage

InterventionVar(Y, date, type = c("P", "S", "R"), n.ahead = 0)

Arguments

Y

an object of class ts used to determine the sample period and frequency.

date

the date of the event, c(year, month).

type

a character indicating the type of intervention variables: (P) pulse, (S) step, (R).

n.ahead

number of additional observations to extend the sample period.

Value

An intervention variable, a 'ts' object.

References

G. E. P. Box, G. C. Tiao, “Intervention Analysis with Applications to Economic and Environmental Problems”, Journal of the American Statistical Association, Vol. 70, No. 349. (Mar., 1975), pp. 70-79.

Examples

Y <- seriesJ$Y
P58 <- InterventionVar(Y, date = 58, type = "P")