fourier_vars function

Create fourier predictors

Creates sine and cosine variables to capture intramonthly and intrayearly cycles.

fourier_vars(k = 1, l = 1, dates)

Arguments

• k: Number of pairs of the yearly cycle trigonometric variables
• l: Number of pairs of the monthly cycle trigonometric variables
• dates: Vector of dates in a date format

Returns

Matrix with fourier variables

Examples

# create a vector of dates
dates=seq.Date(from=as.Date("2023-01-02"),by="weeks",length.out = 100)
# Create a matrix with 20 yearly and 6 monthly pairs of sine and cosine variables
X=fourier_vars(k=20,l=6,dates=dates)