Multi-variate Cholette

Multi-variate Cholette

Usage

multivariatecholette(
  xlist,
  tcvector = NULL,
  ccvector = NULL,
  rho = 1,
  lambda = 1
)

Arguments

lambda

Examples

s1 <- ts(c(7, 7.2, 8.1, 7.5, 8.5, 7.8, 8.1, 8.4), frequency = 4, start = c(2010, 1))
s2 <- ts(c(18, 19.5, 19.0, 19.7, 18.5, 19.0, 20.3, 20.0), frequency = 4, start = c(2010, 1))
s3 <- ts(c(1.5, 1.8, 2, 2.5, 2.0, 1.5, 1.7, 2.0), frequency = 4, start = c(2010, 1))

a <- ts(c(27.1, 29.8, 29.9, 31.2, 29.3, 27.9, 30.9, 31.8), frequency = 4, start = c(2010, 1))

y1 <- ts(c(30.0, 30.6), frequency = 1, start = c(2010, 1))
y2 <- ts(c(80.0, 81.2), frequency = 1, start = c(2010, 1))
y3 <- ts(c(8.0, 8.1), frequency = 1, start = c(2010, 1))

data_list <- list(s1 = s1, s2 = s2, s3 = s3, a = a, y1 = y1, y2 = y2, y3 = y3)

cc <- c("a = s1+s2+s3") # contemporaneous constraints
tc <- c("y1 = sum(s1)", "y2 = sum(s2)", "y3 = sum(s3)") # temporal constraints

output1 <- multivariatecholette(xlist = data_list, tcvector = tc, ccvector = cc, rho = 1, lambda = .5) # = Denton
output2 <- multivariatecholette(xlist = data_list, tcvector = tc, ccvector = cc, rho = 0.729, lambda = .5) # = Cholette
output3 <- multivariatecholette(xlist = data_list, tcvector = NULL, ccvector = cc, rho = 1, lambda = .5)