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Grocer >> Basic functions > transdif

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

load(GROCERDIR+'/data/varma_d.dat');
elec_cons = transdif(seriesa,0,1,1,12);   
// Example taken from varma function varma_d1(). Elec_cons is equal to (1-L)(1-L^12)log(seriesa).
s = transdif(seriesa,-1,0,0,12);
//returns the box-cox transformation of seriesa with lambda = -1 (that is 1-1/seriesa)

AUTHOR

Jaime Terceiro, 1997/ Eric Dubois 2004

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