chktrans function

Check for Possible Non-linear Transformations of a Multiple Time Series

Check for possible non-linear transformations of a multiple time series, series by series.

chktrans(x, block = 0, output = FALSE, period = 1, pv = 0.05)

Arguments

• x: T by k data matrix: T data points in rows with each row being data at a given time point, and k time series in columns.
• block: Number of blocks used in the linear regression. Default value is floor(sqrt(T)).
• output: If TRUE it returns the estimates, the code: log, sqrt and No-trans and the numbers of non-linear transformations. Default is TRUE.
• period: Seasonal period.
• pv: P-value = pv/log(1 + k) is used to check the significance of the coefficients. Default value is 0.05.

Returns

A list containing:

• lnTran - Column locations of series that require log-transformation.
• sqrtTran - Column locations of series that require square-root transformation.
• noTran - Column locations of series that require no transformation.
• tran - A vector indicating checking results, where 0 means no transformation, 1 means log-transformation, 2 means square-root transformation.
• tranX Transformed series. This is only provided if the number of series requiring transformation is sufficiently large, i.e. greater than $2kpv$.
• Summary Number of time series that require log-transformation, square-root transformation and no transformation.

Details

Each series is divided into a given number of consecutive blocks and in each of them the mean absolute deviation (MAD) and the median are computed. A regression of the log of the MAD with respect to the log of the median is run and the slope defines the non-linear transformation.

Examples

data(TaiwanAirBox032017)
output <- chktrans(TaiwanAirBox032017[,1])