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Grocer >> Time series disaggregation > aggreg1

aggreg1

Generates a temporal aggregation matrix

CALLING SEQUENCE

[C]=aggreg1(N,s,opt)

PARAMETERS

Input

* N = number of low frequency data

* s = frequency conversion

* opt = type of temporal aggregation:

   - opt = -1 ---> sum (flow)

   - opt = 0 ---> average (index)

   - opt = k ---> k-th element (k>=1 and k<=s)

 

Output

* C = (N x sN) temporal aggregation matrix

DESCRIPTION

Generates a temporal aggregation matrix: applied to a high frequency series, the function will generate the corresponding low frequency series, by averaging, adding or extrapolating the high frequency values.

EXAMPLE

x=grand(44,1,'nor',0,1)
X=aggreg1(x,4,0)
 
// Aggregates the series x from quarterly to annual (conversion from frequency 4 to 1) by taking the mean of the quarterly data.

AUTHOR

Eric Dubois 2005

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