Calculate the moving average (and double moving average) for time series data
ts_ma(ts.obj, n = c(3, 6, 9), n_left = NULL, n_right = NULL, double = NULL, plot = TRUE, show_legend = TRUE, multiple = FALSE, separate = TRUE, margin = 0.03, title = NULL, Xtitle = NULL, Ytitle = NULL)
| ts.obj | a univariate time series object of a class "ts", "zoo" or "xts" (support only series with either monthly or quarterly frequency) |
|---|---|
| n | A single or multiple integers (by default using 3, 6, and 9 as inputs), define a two-sides moving averages by setting the number of past and future to use in each moving average window along with current observation. |
| n_left | A single integer (optional argument, default set to NULL), can be used, along with the n_right argument, an unbalanced moving average. The n_left defines the number of lags to includes in the moving average. |
| n_right | A single integer (optional argument, default set to NULL), can be used, along with the n_left argument, to set an unbalanced moving average. The n_right defines the number of negative lags to includes in the moving average. |
| double | A single integer, an optional argument. If not NULL (by default), will apply a second moving average process on the initial moving average output |
| plot | A boolean, if TRUE will plot the results |
| show_legend | A boolean, if TRUE will show the plot legend |
| multiple | A boolean, if TRUE (and n > 1) will create multiple plots, one for each moving average degree. By default is set to FALSE |
| separate | A boolean, if TRUE will separate the orignal series from the moving average output |
| margin | A numeric, set the plot margin when using the multiple or/and separate option, default value is 0.03 |
| title | A character, if not NULL (by default), will use the input as the plot title |
| Xtitle | A character, if not NULL (by default), will use the input as the plot x - axis title |
| Ytitle | A character, if not NULL (by default), will use the input as the plot y - axis title |
A list with the original series, the moving averages outputs and the plot
A one-side moving averages (also known as simple moving averages) calculation for Y[t] (observation Y of the series at time t):
MA[t|n] = (Y[t-n] + Y[t-(n-1)] +...+ Y[t]) / (n + 1),
where n defines the number of consecutive observations to be used on each rolling window along with the current observation
Similarly, a two-sided moving averages with an order of (2*n + 1) for Y[t]:
MA[t|n] = (Y[t-n] + Y[t-(n-1)] +...+ Y[t] +...+ Y[t+(n-1)] + Y[t+n]) / (2*n + 1)
Unbalanced moving averages with an order of (k1 + k2 + 1) for observation Y[t]:
MA[t|k1 & k2] = (Y[t-k1] + Y[t-(k1-1)] +...+ Y[t] +...+ Y[t+(k2-1)] + Y[t+k2]) / (k1 + k2 + 1)
The unbalanced moving averages is a special case of two-sides moving averages, where k1 and k2 represent the number of past and future periods, respectively to be used in each rolling window, and k1 != k2 (otherwise it is a normal two-sided moving averages function)
# NOT RUN { # A one-side moving average order of 7 USgas_MA7 <- ts_ma(USgas, n_left = 6, n = NULL) # A two-sided moving average order of 13 USgas_two_side_MA <- ts_ma(USgas, n = 6) # Unbalanced moving average of order 12 USVSales_MA12 <- ts_ma(USVSales, n_left = 6, n_right = 5, n = NULL, title = "US Monthly Total Vehicle Sales - MA", Ytitle = "Thousand of Units") # Adding double MA of order 2 to balanced the series: USVSales_MA12 <- ts_ma(USVSales, n_left = 6, n_right = 5, n = NULL, double = 2, title = "US Monthly Total Vehicle Sales - MA", Ytitle = "Thousand of Units") # Adding several types of two-sided moving averages along with the unblanced # Plot each on a separate plot USVSales_MA12 <- ts_ma(USVSales, n_left = 6, n_right = 5, n = c(3, 6, 9), double = 2, multiple = TRUE, title = "US Monthly Total Vehicle Sales - MA", Ytitle = "Thousand of Units") # }