simts: lts – R documentation

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lts

Generate a Latent Time Series Object from Data

Description

Create a lts object based on a supplied matrix or data frame. The latent time series is obtained by the sum of underlying time series.

Usage

lts(data, start = 0, end = NULL, freq = 1, unit_ts = NULL,
  unit_time = NULL, name_ts = NULL, name_time = NULL,
  process = NULL)

Arguments

`data`	A multiple-column `matrix` or `data.frame`. It must contain at least 3 columns of which the last represents the latent time series obtained through the sum of the previous columns.
`start`	A `numeric` that provides the time of the first observation.
`end`	A `numeric` that provides the time of the last observation.
`freq`	A `numeric` that provides the rate/frequency at which the time series is sampled. The default value is 1.
`unit_ts`	A `string` that contains the unit of measure of the time series. The default value is `NULL`.
`unit_time`	A `string` that contains the unit of measure of the time. The default value is `NULL`.
`name_ts`	A `string` that provides an identifier for the time series data. Default value is `NULL`.
`name_time`	A `string` that provides an identifier for the time. Default value is `NULL`.
`process`	A `vector` that contains model names of each column in the `data` object where the last name is the sum of the previous names.

Value

A lts object

Author(s)

Wenchao Yang and Justin Lee

Examples

model1 = AR1(phi = .99, sigma2 = 1) 
model2 = WN(sigma2 = 1)
col1 = gen_gts(1000, model1)
col2 = gen_gts(1000, model2)
testMat = cbind(col1, col2, col1+col2)
testLts = lts(testMat, unit_time = 'sec', process = c('AR1', 'WN', 'AR1+WN'))
plot(testLts)

simts

Time Series Analysis Tools

v0.1.1

AGPL-3 | file LICENSE

Authors

Stéphane Guerrier [aut, cre, cph], James Balamuta [aut, cph], Roberto Molinari [aut, cph], Justin Lee [aut], Yuming Zhang [aut], Wenchao Yang [ctb], Nathanael Claussen [ctb], Yunxiang Zhang [ctb], Christian Gunning [cph], Romain Francois [cph], Ross Ihaka [cph], R Core Team [cph]

Initial release

2019-07-21

lts