find_opt function

Find optimal number of fourier variables

Searches through the model space to identify the best number of trigonometric variables, with the lowest AIC, AICc or BIC value.

find_opt(
  x,
  dates,
  H = NULL,
  AO = NULL,
  method = "additive",
  l.max = 12,
  k.max = 42,
  by = 6
)

Arguments

• x: Numeric vector. Time series to seasonally adjust
• dates: a vector of class "Date", containing the data dates
• H: (optional) Matrix with holiday and trading day variables
• AO: (optional) Matrix with additive outlier variables
• method: Decomposition method: "additive" or "multiplicative". By default uses the additive method
• l.max: Maximal number of the monthly cycle variables to search for. By default is 12
• k.max: Maximal number of the yearly cycle variables to search for. By default is 42
• by: Step size in the search. By default is 6.

Returns

list with the optimal number of (yearly and monthly) fourier variables according to AIC, AICc and BIC

Examples

data(gasoline.data)

res=find_opt(x=gasoline.data$y,dates=gasoline.data$date)
print(res)