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The series is differenced till its variance is decreasing.

Source: R/differencing.R
differencing_fast.Rd

Automatic differencing

Usage

differencing_fast(data, period, mad = TRUE, centile = 90, k = 1.2)

Arguments

data

Series being differenced.

period

Period considered in the automatic differencing.

mad

Use of MAD in the computation of the variance (true by default).

centile

Percentage of the data used for computing the variance (90 by default).

k

tolerance in the decrease of the variance. The algorithm stops if the new variance is higher than k*the old variance. k should be equal or slightly higher than 1 (1.2 by default)

Value

Stationary transformation

  • ddata: data after differencing

  • mean: mean correction

  • differences:

    • lag: \(ddata(t)=data(t)-data(t-lag)\)

    • order: order of the differencing

Examples

differencing_fast(log(ABS$X0.2.09.10.M), 12)
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