bflSmooth function

Smooth a time series

bflSmooth smoothes a time series into a time series of a higher frequency that exactly aggregates into the higher one. The process followed is Boot, Feibes and Lisman, which minimizes the squares of the variations.

bflSmooth(lfserie, nfrequency, weights = NULL, lfserie.is.rate = FALSE)

Arguments

• lfserie: a time series to be smoothed
• nfrequency: the new high frequency. It must be a multiple of the low frequency.
• weights: NULL or a time series of the same size than the expected high-frequency serie.
• lfserie.is.rate: TRUE or FALSE. Only taken into account if weights isn't NULL.

Returns

A time series of frequency nfrequency

Details

If weights isn't NULL the results depends of lfserie.is.rate :

• if FALSE the rate output/weights is smoothed with the constraint that the aggregated output is equal to the input lfserie.
• if TRUE the input lfserie is the rate to be smoothed, with the constraint that the low-frequency weighted means of the output are equal to lfserie.