Impute Incomplete Finite Filters

Usage

impute_last_obs(x, n, nperiod = 1, backward = TRUE, forward = TRUE)

Arguments

x: a finite_filters() object.
n: integer specifying the number of imputed periods. By default all the missing moving averages are imputed.
nperiod: integer specifying how to imput missing date. nperiod = 1 means imputation using last filtered data (1 period backward), nperiod = 12 with monthly data means imputation using last year filtered data, etc.
backward, forward: boolean indicating if the imputation should be done backward (on left filters), forward (on right filters).

Details

When combining finite filters and a moving average, the first and/or the last points cannot be computed.

For example, using the M2X12 moving average, that is to say the symmetric moving average with coefficients $$ \theta = \frac{1}{24}B^{6} + \frac{1}{12}B^{5}+\dots+\frac{1}{12}B^{-5}+\frac{1}{24}B^{-6}, $$ the first and last 6 points cannot be computed.

impute_last_obs() allows to impute the first/last points using the nperiod previous filtered data. With nperiod = 1, the last filtered data is used for the imputation, with nperiod = 12 and monthly data, the last year filtered data is used for the imputation, etc.

Examples

y <- window(retailsa$AllOtherGenMerchandiseStores, start = 2008)
M3 <- moving_average(rep(1/3, 3), lags = -1)
M3X3 <- M3 * M3
#> Error in jclassName(class, class.loader = class.loader): java.lang.UnsupportedClassVersionError: jdplus/toolkit/base/core/math/linearfilters/FiniteFilter has been compiled by a more recent version of the Java Runtime (class file version 65.0), this version of the Java Runtime only recognizes class file versions up to 61.0
M2X12 <- (simple_ma(12, -6) + simple_ma(12, -5)) / 2
#> Error in jclassName(class, class.loader = class.loader): java.lang.UnsupportedClassVersionError: jdplus/toolkit/base/core/math/linearfilters/FiniteFilter has been compiled by a more recent version of the Java Runtime (class file version 65.0), this version of the Java Runtime only recognizes class file versions up to 61.0
composite_ma <- M3X3 * M2X12
#> Error: object 'M3X3' not found
# The last 6 points cannot be computed
composite_ma
#> Error: object 'composite_ma' not found
composite_ma * y
#> Error: object 'composite_ma' not found
# they can be computed using the last filtered data
# e.g. to impute the first 3 missing months with last period:
impute_last_obs(composite_ma, n = 3, nperiod = 1) * y
#> Error: object 'composite_ma' not found
# or using the filtered data of the same month in previous year
impute_last_obs(composite_ma, n = 6, nperiod = 12) * y
#> Error: object 'composite_ma' not found