Ramp regressor

Ramp regressor

Usage

ramp_variable(frequency, start, length, s, range)

Arguments

frequency

Frequency of the series, number of periods per year (12,4,3,2..)

start, length

First date (array with the first year and the first period) (for instance c(1980, 1)) and number of periods of the output variables. Can also be provided with the s argument

s

time series used to get the dates for the trading days variables. If supplied the parameters frequency, start and length are ignored.

range

the range of the regressor. A vector of length 2 containing the datesin the format "YYYY-MM-DD" or the position in the series, in number of periods from counting from the series start.

Details

A ramp between two dates \(t_0\) and \(t_1\) is defined as: $$RP_t= \begin{cases} -1 & \text{if }t\geq t_0 \\ \frac{t-t_0}{t_1-t_0}-1 & t_0< t < t_1 \\ 0 & t \leq t_1 \end{cases} $$

Examples

# Ramp variable from January 2001 to September 2001
rp <- ramp_variable(12, c(2000, 1), length = 12 * 4, range = c(13, 21))
# Or equivalently
rp <- ramp_variable(12, c(2000, 1), length = 12 * 4, range = c("2001-01-01", "2001-09-02"))
plot.ts(rp)