getOptK {tsutils}

Optimal temporal aggregation level for AR(1), MA(1), ARMA(1,1)

Description

Calculate the theoretically optimal temporal aggregation level for AR(1), MA(1) and ARMA(1,1) time series.

Usage

getOptK(y, m = 12, type = c("ar", "ma", "arma"))

Arguments

y

a time series that must be of either ts or msts class.

m

maximum aggregation level.

type

type of data generating process. Can be:

• "ar": For AR(1) series.

• "ma": For MA(1) series.

• "arma": For ARMA(1,1) series.

Value

Identified optimal temporal aggregation level.

Author(s)

Nikolaos Kourentzes, [e-mail].

References

• Kourentzes, N., Rostami-Tabar, B., & Barrow, D. K. (2017). Demand forecasting by temporal aggregation: using optimal or multiple aggregation levels?. Journal of Business Research, 78, 1-9.

• Rostami-Tabar, B., Babai, M. Z., Syntetos, A., & Ducq, Y. (2013). Demand forecasting by temporal aggregation. Naval Research Logistics (NRL), 60(6), 479-498.

• Rostami-Tabar, B., Babai, M. Z., Syntetos, A., & Ducq, Y. (2014). A note on the forecast performance of temporal aggregation. Naval Research Logistics (NRL), 61(7), 489-500.

Examples

getOptK(referrals)