[R-SIG-Finance] Uneven time series

Luis Damiano damiano.luis at gmail.com
Sat Nov 5 01:51:35 CET 2016


Dear all,

I'm dealing with an uneven time series with regressors [0]. If the series
was regular, my preferred approach would be some form of space state
representation such as smoothing, time varying regression or an
autoregressive process with external regressors.

The series shows a clear trend and I believe that irregularity is an
important feature. So far, I've found two alternatives: a) continuous time
models and packages like ctsem [1] and cts [2], but they seemed limited in
their application, and b) exponential smoothing for uneven time series [3]
but they wouldn't allow for regressors.

Before I give up, I was wondering if you can suggest a better way to model
this series.

Thank you a lot!

Regards,

[0] http://puu.sh/s6O9q/ba6aa206f6.png

[1] https://cran.r-project.org/web/packages/ctsem/

[2] https://cran.r-project.org/web/packages/cts/

[3] https://oroboro.com/irregular-ema/

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