如何指定我想要的季节性过滤器？

Question

我正在尝试复制使用 3x9 季节性过滤器的规范。 但是，当我在以下对象中使用 udg() 时：

sa <- seas(x = ts(pib_headline_nsa_ts, start = c(2005, 1), end = c(2024,2), frequency = 4), 
arima.model="(0 1 0)(0 1 1)", x11 = "", transform.function = "log", regression.aictest = c("easter"), outlier.types = 'NULL', forecast = c(maxlead = 6, maxback = 0))

该算法使用 3x5 规范。我应该更改哪个参数来指定 3x9 过滤器而不是自动选择？我想它在 x11 参数中，但我在任何手册中都找不到信息。

Answer 1

您可以尝试在通话中指定

x11.seasonalma = "S3X5"

：

library(seasonal)

sa <- seas(x = ts(pib_headline_nsa_ts, 
  start = c(2005, 1), 
  end = c(2024,2), 
  frequency = 4), 
  arima.model="(0 1 0)(0 1 1)", 
  x11.seasonalma = "S3X5",  ## <----------- HERE
  transform.function = "log", 
  regression.aictest = c("easter"), 
  outlier.types = 'NULL', 
  forecast = c(maxlead = 6, maxback = 0))

例如，使用 AirPassengers 数据集：

seas(AirPassengers, x11.seasonalma = "S3X5", arima.model = "(0 1 1)")
Call:
seas(x = AirPassengers, x11.seasonalma = "S3X5", arima.model = "(0 1 1)")

Coefficients:
          Weekday  MA-Nonseasonal-01  
        -0.003206          -0.325804