X-11 Selection of Trend Filter

Source: R/ic_r.R

X-11 Selection of Trend Filter

select_trend_filter(x, ...)

# Default S3 method
select_trend_filter(x, ..., freq)

# S3 method for class 'ts'
select_trend_filter(x, ..., length = 13)

Arguments

x

I/C ratio ic_ratio() or a time series

...

further arguments passed to or from other methods.

freq

frequency of the time series used to compute the I/C ratio.

length

length of the Henderson filter used to compute the I/C ratio.

Details

The following procedure is used in X-11 to select the length of the trend filter:

  1. Computes the I/C ratio, \(icr\) with an Henderson filter of length 13.

  2. The length depends on the value or \(icr\):

    • if \(icr < 1\) then the selected length is 9 for monthly data and 5 otherwise;

    • if \(1 \leq icr < 3.5\) then the selected length is \(freq + 1\) where \(freq\) is the frequency of data (12 for monthly data, 4 for quarterly data...).

    • if \(icr \geq 3.5\) then the selected length is 23 for monthly data and 7 otherwise.

Examples

# example code
s<-rjd3toolkit::retail$AllOtherGenMerchandiseStores
q<-x11plus(s, 12)
x <- ts(data=q$decomposition$sa, start=start(s), frequency=frequency(s))
sc <- henderson(x, length = 13, musgrave = FALSE)
icr <- ic_ratio(x, sc)
select_trend_filter(icr, freq = 12)
#>       icr    length 
#>  3.720734 23.000000 
# Because Henderson filter is used, this is equivalent to:
select_trend_filter(x)
#>       icr    length 
#>  3.720734 23.000000