Name

transdif — differenciation and Box-Cox transformation

CALLING SEQUENCE

[yt]=transdif(y,lambda,d,ds,s)

PARAMETERS

Input

• y = (nxk) data matrix

• lambda = a scalar, parameter of the Box-Cox transformation

• d = a scalar, the number of regular differences (1-B)^d

• ds = (Sx1) matrix containing the number of seasonal differences

• s = (rx1) matrix containing the seasonal periods

Output

• yt =(n-d-sum(ds*s))xk matrix of transformed data

DESCRIPTION

Function that mimics matlab function transdif: forms the string matrix

EXAMPLE


1. mtlb_load(GROCERDIR+'/scied/grocer/encours/e4sci/seriesa.dat'); elec_cons = transdif(seriesa,0,1,1,12);   

2. mtlb_load(GROCERDIR+'/scied/grocer/encours/e4sci/seriesa.dat'); s = transdif(seriesa,-1,0,0,12);

 

Example 1 taken from varma function varma_d1(). Elec_cons is equal to (1-L)(1-L^12)log(seriesa). 

Example 2 gives simply the box-cox transformation of seriesa with lambda = -1 (that is 1-1/seriesa)



               

AUTHOR

Jaime Terceiro, 1997/ Eric Dubois 2004