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, s, d);

Library

tsmt

Source

vmutilsmt.src