timetk: ts_impute_vec – R documentation

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ts_impute_vec

Missing Value Imputation for Time Series

Description

This is mainly a wrapper for the Seasonally Adjusted Missing Value using Linear Interpolation function, na.interp(), from the forecast R package. The ts_impute_vec() function includes arguments for applying seasonality to numeric vector (non-ts) via the period argument.

Usage

ts_impute_vec(x, period = 1, lambda = NULL)

Arguments

`x`	A numeric vector.
`period`	A seasonal period to use during the transformation. If `period = 1`, linear interpolation is performed. If `period > 1`, a robust STL decomposition is first performed and a linear interpolation is applied to the seasonally adjusted data.
`lambda`	A box cox transformation parameter. If set to `"auto"`, performs automated lambda selection.

Details

Imputation using Linear Interpolation

Three circumstances cause strictly linear interpolation:

Period is 1: With period = 1, a seasonality cannot be interpreted and therefore linear is used.
Number of Non-Missing Values is less than 2-Periods: Insufficient values exist to detect seasonality.
Number of Total Values is less than 3-Periods: Insufficient values exist to detect seasonality.

Seasonal Imputation using Linear Interpolation

For seasonal series with period > 1, a robust Seasonal Trend Loess (STL) decomposition is first computed. Then a linear interpolation is applied to the seasonally adjusted data, and the seasonal component is added back.

Box Cox Transformation

In many circumstances, a Box Cox transformation can help. Especially if the series is multiplicative meaning the variance grows exponentially. A Box Cox transformation can be automated by setting lambda = "auto" or can be specified by setting lambda = numeric value.

References

Examples

library(dplyr)
library(timetk)


# --- VECTOR ----

values <- c(1,2,3, 4*2, 5,6,7, NA, 9,10,11, 12*2)
values

# Linear interpolation
ts_impute_vec(values, period = 1, lambda = NULL)

# Seasonal Interpolation: set period = 4
ts_impute_vec(values, period = 4, lambda = NULL)

# Seasonal Interpolation with Box Cox Transformation (internal)
ts_impute_vec(values, period = 4, lambda = "auto")

timetk

A Tool Kit for Working with Time Series in R

v2.6.1

GPL (>= 3)

Authors

Matt Dancho [aut, cre], Davis Vaughan [aut]

Initial release