kpss_statistic(): the KPSS statistic for level stationarity
(Kwiatkowski et al., 1992); above 0.463 a difference is called for at
5%.
n_differences(): differences needed by repeated KPSS tests.
n_seasonal_differences(): seasonal differences needed, by the
strength of seasonality.
seasonal_strength(): from 0 to 1 (Wang, Smith & Hyndman, 2006).
autocorrelations(): at lags 1 to max_lag.
box_cox(), inv_box_cox(): the transformation and its inverse;
guerrero_lambda() chooses lambda by Guerrero's method (1993).
Usage
kpss_statistic(y)
n_differences(y, max = 2)
n_seasonal_differences(y, period = NULL)
seasonal_strength(y, period = NULL)
autocorrelations(y, max_lag)
box_cox(x, lambda)
inv_box_cox(x, lambda)
guerrero_lambda(y, period = NULL)
Arguments
- y, x
A ts or a numeric vector.
- max
Most differences.
- period
The seasonal period, when y is a plain vector.
- max_lag
Largest lag.
- lambda
The Box-Cox parameter; 0 is the log.
Value
A number, or the transformed values.
Examples
kpss_statistic(log(AirPassengers))
#> [1] 4.540882
n_differences(log(AirPassengers))
#> [1] 1
guerrero_lambda(AirPassengers)
#> [1] -0.2947236
