vmsdiffmt¶
Purpose¶
Seasonally Differences matrices.
Format¶
-
y =
vmsdiffmt
(x, d, s)¶ - Parameters:
x (matrix) – TxK, data to be differenced.
d (scalar) – the number of periods over which differencing occurs.
s (scalar) – seasonal parameter, .
- Returns:
y ((T-d)xK matrix) – the seasonally differenced data.
Example¶
new;
cls;
library tsmt;
// Load airline data
airline = loadd( getGAUSSHome() $+ "pkgs/tsmt/examples/airline.dat");
y = ln(airline);
// Set parameters for differencing data
s = 12;
// Order of differencing
d = 1;
// Take seasonal differences
y_sd = vmsdiffmt(y, d, s);
Library¶
tsmt
Source¶
vmutilsmt.src