Calendarization

Based on "Calendarization with splines and state space models" B. Quenneville, F.Picard and S.Fortier Appl. Statistics (2013) 62, part 3, pp 371-399. State space implementation.

Usage

calendarization(
  calendarobs,
  freq,
  start = NULL,
  end = NULL,
  dailyweights = NULL,
  stde = FALSE
)

Arguments

calendarobs

Observations (list of start, end, value). See the example.

freq

Annual frequency. If 0, only the daily series are computed

start

Starting day of the calendarization. Could be before the calendar obs (extrapolation)

end

Final day of the calendarization. Could be after the calendar obs (extrapolation)

dailyweights

Daily weights. Should have the same length as the requested series

stde

Examples

obs<-list(
    list(start="1980-01-01", end="1989-12-31", value=100),
    list(start="1990-01-01", end="1999-12-31", value=-10),
    list(start="2000-01-01", end="2002-12-31", value=50))
cal<-calendarization(obs, 4, end="2003-12-31", stde=TRUE)
Q<-cal$rslt
eQ<-cal$erslt