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Perform an Arima Model Based (AMB) decomposition with multiple periodicities

Source: R/jd3_fractionalairline.R
multi_airline_decomposition.Rd

This function performs an AMB decomposition based on (fractional) airline models allowing for multiple seasonal periodicities at once. It is intended for high-frequency time series where more than one seasonal cycle may be present (e.g. weekly and annual effects).

Usage

multi_airline_decomposition(
  series,
  period,
  ndiff = 2,
  ar = FALSE,
  stde = FALSE,
  nbcasts = 0,
  nfcasts = 0,
  eps = 1e-09,
  deps = 1e-04,
  log = FALSE,
  series_time = NULL
)

Arguments

series

input time series.

period

numeric vector of seasonal periods. Each value must be a positive real number (e.g. 7 for weekly, 365.2425 for annual seasonality).

ndiff

integer specifying the number of regular differences. Default is 2.

ar

logical. If TRUE, an autoregressive component is included in the model. Default is FALSE.

stde

logical. If TRUE, compute standard deviations of the components. In some cases (e.g. memory limits), it may not be possible to compute them. Default is FALSE.

nbcasts

number of backcasts. Default is 0.

nfcasts

number of forecasts. Default is 0.

eps

precision of the optimisation routine. Default: 1e-9.

deps

step in the computation of the numerical derivatives, used in the optimisation routine. Default:1e-4

log

logical. If TRUE, the decomposition is returned on the log-scale. Default is FALSE.

series_time

optional vector of time indices associated with series.

Value

A decomposition object containing the estimated components for each periodicity. If multiple periods are provided, a multi-period decomposition is returned.

Details

If a single period is supplied, the function falls back to fractional_airline_decomposition().

Examples

series <- rnorm(200)+100
dual_season <- multi_airline_decomposition(
  series,
  period = c(7, 30.4),
  log = TRUE,
  series_time = seq.Date(from=as.Date("2025-01-01"),
                         by = "days",
                         length.out = length(series))
)
#> Error in rJava::.jcall("jdplus/highfreq/base/r/FractionalAirlineProcessor",     "Ljdplus/highfreq/base/core/extendedairline/decomposition/LightExtendedAirlineDecomposition;",     "decompose", as.numeric(series), rJava::.jarray(period),     as.integer(ndiff), ar, stde, as.integer(nbcasts), as.integer(nfcasts),     as.numeric(eps), as.numeric(deps)): RcallMethod: cannot determine object class