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Thank you for the amazing package. It's makes so much sense to have a *verse of time series packages that talk well with each other.
I'm trying to correct for level shifts in a tsibble, but noticed that the level shift was not signed. In the example below, would it make sense for the two outputs to have different signs?
library(tsibble)
library(feasts)
tsbl <- data.frame(
Date = seq(as.Date('2020-01-01'), length.out = 100L, by = '1 day'),
Value1 = c(rep(0, times = 50L), rep(10, times = 50L)),
Value2 = c(rep(0, times = 50L), rep(-10, times = 50L))
) %>%
as_tsibble(index = Date)
tsbl %>%
features(Value1, shift_level_max) # Expect shift_level_max = 10
tsbl %>%
features(Value2, shift_level_max) # Expect shift_level_max = -10
A slight modification to the existing function can allow for this possibility.
shift_level_max <- function (x, .size = NULL, .period = 1)
{
if (is.null(.size)) {
.size <- ifelse(.period == 1, 10, .period)
}
rollmean <- slider::slide_dbl(x, mean, .before = .size -
1, na.rm = TRUE)
means <- diff(rollmean, .size) # get rid of abs(.)
if (length(means) == 0L) {
maxmeans <- 0
maxidx <- NA_real_
}
else if (all(is.na(means))) {
maxmeans <- NA_real_
maxidx <- NA_real_
}
else {
maxidx <- which.max(abs(means)) + 1L # include abs(.) in here
maxmeans <- means[maxidx]
}
return(c(shift_level_max = maxmeans, shift_level_index = maxidx))
}
The text was updated successfully, but these errors were encountered:
raneameya
changed the title
Add sign to level shifts
Add sign to level shifts?
Jul 14, 2021
Thank you for the amazing package. It's makes so much sense to have a *verse of time series packages that talk well with each other.
I'm trying to correct for level shifts in a
tsibble
, but noticed that the level shift was not signed. In the example below, would it make sense for the two outputs to have different signs?A slight modification to the existing function can allow for this possibility.
The text was updated successfully, but these errors were encountered: