| Title: | Support Functions for Time Series Analysis Book |
|---|---|
| Description: | Contains the support functions for the Time Series Analysis book. We present a function to calculate MSE and MAE for inputs of actual and forecast values. We also have the code for disaggregation as found in Wei and Stram (1990, <doi:10.1111/j.2517-6161.1990.tb01799.x>), and Hodgess and Wei (1996, "Temporal Disaggregation of Time Series"). |
| Authors: | Erin Hodgess [aut, cre] |
| Maintainer: | Erin Hodgess <[email protected]> |
| License: | GPL-2 | GPL-3 |
| Version: | 0.1.0 |
| Built: | 2025-02-25 06:15:29 UTC |
| Source: | https://github.com/cran/disagg2 |
Input an annual, quarterly series. Create a quarterly or monthly series via ARIMA
disag1(x, m)disag1(x, m)
x |
Input ts, must have frequency of 1 or 4 |
m |
Order of disaggregation, must be 12, 4, or 3 |
Uses ARIMA model on the aggregate series to create a disaggregate series
y_s |
Disag. series to be summed |
y_m |
Disag. series mean |
disphi |
Disagg phi value |
distheta |
Disagg theta value |
dissig2 |
Disagg sigma2 |
William W.S. Wei and Daniel Stram, 1990, Disaggregation of Time Series Models, Journal of the Royal Statistics Society, B, Vol 52, Number 3, pp. 453-467. Erin M. Hodgess and William W.S. Wei, 1996, Temporal Disaggregation of Time Series, Applied Statistical Science I, pp. 33-43, Nova Science Publishers, Commack, NY
The inputs are the actual and the forecast values. We calculate the Mean Square Error (MSE) and Mean Absolute Error (MAE)
foremeas1(actx, forex)foremeas1(actx, forex)
actx |
actual values |
forex |
forecast values |
MSE = mean((act-fore)^2), MAE = mean(abs(act-fore))
MSE |
Mean square error |
MAE |
Mean absolute error |
c( person( "Erin", "Hodgess", email = "[email protected]", role = c("aut", "cre") ) )
Create an nxn symmetric matrix from an n length vector
mySym(x)mySym(x)
x |
input length n vector |
create an nxn symmetric matrix
y |
symmetric matrix |
c( person( "Erin", "Hodgess", email = "[email protected]", role = c("aut", "cre") ) )
##---- Should be DIRECTLY executable !! ---- ##-- ==> Define data, use random, ##-- or standard data sets, see data(). mySym(1:6)##---- Should be DIRECTLY executable !! ---- ##-- ==> Define data, use random, ##-- or standard data sets, see data(). mySym(1:6)