mas function

Moving average smoothing

The mas() function returns a simple moving average smoother of the provided time series. mas.rev() reverses the transformation(smoothing) process.

mas(x, order, ...)

mas.rev(xm, xi, order, addinit = TRUE)

Arguments

• x: A numeric vector or univariate time series.
• order: Order of moving average smoother. If NULL, it is automatically selected by fittestMAS.
• ...: Additional arguments passed to fittestMAS.
• xm: A numeric vector or univariate time series that has been moving average smoothed. Possibly returned by mas().
• xi: Initial order-1 values/observations used for reverse smoothing. First order-1 known non-transformed values used to recursively obtain the original series. By default, mas() returns xi as an attribute.
• addinit: If TRUE, xi is included in the return.

Returns

Numerical time series of length length(x)-order+1 containing the simple moving average smoothed values.

Details

The moving average smoother transformation is given by

where k=order, t assume values in the range 1:(n-k+1), and n=length(x). See also the ma of the forecast package.

Examples

data(CATS)

m <- mas(CATS[,1],order=5)

#automatically select order of moving average
m <- mas(CATS[,1],order=NULL,h=20)

x <- mas.rev(m, attributes(m)$xi, attributes(m)$order)

all(round(x,4)==round(CATS[,1],4))

References

R.H. Shumway and D.S. Stoffer, 2010, Time Series Analysis and Its Applications: With R Examples. 3rd ed. 2011 edition ed. New York, Springer.

See Also

Other transformation methods: Diff(), LogT(), WaveletT(), emd(), mlm_io(), outliers_bp(), pct(), train_test_subset()

Author(s)

Rebecca Pontes Salles