-
Notifications
You must be signed in to change notification settings - Fork 1
/
Step2_Bereinigung_VT_D11.R
260 lines (256 loc) · 16.1 KB
/
Step2_Bereinigung_VT_D11.R
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
# ~~~~~~~~~~~~~~~~~~~~~~~~~~
#
# Saisonbereigigung T0103 Verteilung D11
#
# ~~~~~~~~~~~~~~~~~~~~~~~~~~
# vtD1 muss geladen sein
# test
vert_D11 <- perHts(
# Hier wurden AT6 plus Easter identifiziert (Grenzwert)
# 1
A = perTramo(vtD1[, "D11_XDC_W2_A"], template = "RSA3",
# Transformation -------------------------------------------------------
transform.function = "Log",
# Outliers -------------------------------------------------------------
outlier.enabled = FALSE,
usrdef.outliersEnabled = TRUE,
usrdef.outliersType = c("LS"),
usrdef.outliersDate = c("2008-04-01"),
# Trading Days ---------------------------------------------------------
# usrdef.varEnabled = FALSE,
# usrdef.var = NA, usrdef.varType = "Calendar",
# tradingdays.option = "UserDefined",
# Easter ---------------------------------------------------------------
# easter.type = NA, easter.duration = 6,
# Arima-Model ----------------------------------------------------------
automdl.enabled = FALSE,
arima.p = 1, arima.d = 0, arima.q = 0,
arima.bp = 1, arima.bd = 1, arima.bq = 0, arima.mu = TRUE),
# ====================================================================================
# 2
BTE = perTramo(vtD1[, "D11_XDC_W2_BTE"], template = "RSA3",
# Transformation -------------------------------------------------------
transform.function = "Log",
# Outliers -------------------------------------------------------------
outlier.enabled = FALSE,
usrdef.outliersEnabled = TRUE,
usrdef.outliersType = c("AO", "LS",
"LS", "LS"),
usrdef.outliersDate = c("2002-01-01", "2009-04-01",
"2009-07-01", "2020-01-01"),
# Trading Days ---------------------------------------------------------
# usrdef.varEnabled = FALSE,
# usrdef.var = NA, usrdef.varType = "Calendar",
#tradingdays.option = "UserDefined",
# Easter ---------------------------------------------------------------
# easter.type = NA, easter.duration = 6,
# Arima-Model ----------------------------------------------------------
automdl.enabled = FALSE,
arima.p = 0, arima.d = 1, arima.q = 1,
arima.bp = 0, arima.bd = 1, arima.bq = 1, arima.mu = FALSE),
# ====================================================================================
# 3
C = perTramo(vtD1[, "D11_XDC_W2_C"], template = "RSA3",
# Transformation -------------------------------------------------------
transform.function = "Log",
# Outliers -------------------------------------------------------------
outlier.enabled = FALSE,
usrdef.outliersEnabled = TRUE,
usrdef.outliersType = c("AO", "LS",
"LS", "LS"),
usrdef.outliersDate = c("2002-01-01", "2009-04-01",
"2009-07-01", "2020-01-01"),
# Trading Days ---------------------------------------------------------
# usrdef.varEnabled = FALSE,
# usrdef.var = NA, usrdef.varType = "Calendar",
#tradingdays.option = "UserDefined",
# Easter ---------------------------------------------------------------
# easter.type = NA, easter.duration = 6,
# Arima-Model ----------------------------------------------------------
automdl.enabled = FALSE,
arima.p = 0, arima.d = 1, arima.q = 0,
arima.bp = 0, arima.bd = 1, arima.bq = 1, arima.mu = FALSE),
# ====================================================================================
# 4
F = perTramo(vtD1[, "D11_XDC_W2_F"], template = "RSA3",
# Transformation -------------------------------------------------------
transform.function = "None",
# Outliers -------------------------------------------------------------
outlier.enabled = FALSE,
usrdef.outliersEnabled = TRUE,
usrdef.outliersType = c("AO","AO","LS","TC"),
usrdef.outliersDate = c("2020-04-01","2023-10-01","2023-01-01","2008-01-01"),
# Trading Days ---------------------------------------------------------
# usrdef.varEnabled = FALSE,
# usrdef.var = NA, usrdef.varType = "Calendar",
# tradingdays.option = "UserDefined",
# Easter ---------------------------------------------------------------
# easter.type = NA, easter.duration = 6,
# Arima-Model ----------------------------------------------------------
automdl.enabled = FALSE,
arima.p = 0, arima.d = 1, arima.q = 1,
arima.bp = 0, arima.bd = 1, arima.bq = 1, arima.mu = FALSE),
# ====================================================================================
# 5
GTI = perTramo(vtD1[, "D11_XDC_W2_GTI"] , template = "RSA3",
# Transformation -------------------------------------------------------
transform.function = "Log",
# Outliers -------------------------------------------------------------
outlier.enabled = FALSE,
usrdef.outliersEnabled = TRUE,
usrdef.outliersType = c("LS", "TC",
"TC", "TC",
"LS"),
usrdef.outliersDate = c("2020-04-01", "2021-01-01",
"2020-01-01", "2008-01-01",
"2021-04-01"),
# Trading Days ---------------------------------------------------------
# usrdef.varEnabled = FALSE,
# usrdef.var = NA, usrdef.varType = "Calendar",
# tradingdays.option = "UserDefined",
# Easter ---------------------------------------------------------------
# easter.type = NA, easter.duration = 6,
# Arima-Model ----------------------------------------------------------
automdl.enabled = FALSE,
arima.p = 1, arima.d = 1, arima.q = 0,
arima.bp = 0, arima.bd = 1, arima.bq = 1, arima.mu = FALSE),
# ====================================================================================
# 6
J = perTramo(vtD1[, "D11_XDC_W2_J"], template = "RSA3",
# Transformation -------------------------------------------------------
transform.function = "Log",
# Outliers -------------------------------------------------------------
outlier.enabled = FALSE,
usrdef.outliersEnabled = TRUE,
usrdef.outliersType = c("LS", "AO",
"LS"),
usrdef.outliersDate = c("2007-07-01", "2010-01-01",
"2000-10-01"),
# Trading Days ---------------------------------------------------------
# usrdef.varEnabled = FALSE,
# usrdef.var = NA, usrdef.varType = "Calendar",
# tradingdays.option = "UserDefined",
# Easter ---------------------------------------------------------------
# easter.type = NA, easter.duration = 6,
# Arima-Model ----------------------------------------------------------
automdl.enabled = FALSE,
arima.p = 0, arima.d = 1, arima.q = 0,
arima.bp = 1, arima.bd = 1, arima.bq = 0, arima.mu = FALSE),
# =====================================================================================
# 7
K = perTramo(vtD1[, "D11_XDC_W2_K"], template = "RSA3",
# Transformation -------------------------------------------------------
transform.function = "Log",
# Outliers -------------------------------------------------------------
outlier.enabled = FALSE,
usrdef.outliersEnabled = TRUE,
usrdef.outliersType = c("LS", "AO",
"AO", "AO"),
usrdef.outliersDate = c("2024-01-01", "2014-10-01",
"2008-01-01", "2014-01-01"),
# Trading Days ---------------------------------------------------------
# usrdef.varEnabled = FALSE,
# usrdef.var = NA, usrdef.varType = "Calendar",
# tradingdays.option = "UserDefined",
# Easter ---------------------------------------------------------------
# easter.type = NA, easter.duration = 6,
# Arima-Model ----------------------------------------------------------
automdl.enabled = FALSE, ######
arima.p = 0, arima.d = 1, arima.q = 1,
arima.bp = 0, arima.bd = 1, arima.bq = 1, arima.mu = TRUE),
# =====================================================================================
# 8
L = perTramo(vtD1[, "D11_XDC_W2_L"], template = "RSA3",
# Transformation -------------------------------------------------------
transform.function = "Log",
# Outliers -------------------------------------------------------------
outlier.enabled = FALSE,
usrdef.outliersEnabled = TRUE,
usrdef.outliersType = c("AO", "AO",
"AO", "AO",
"AO"),
usrdef.outliersDate = c("2009-01-01", "2011-01-01",
"2012-01-01", "2013-01-01",
"2014-10-01"),
# Trading Days ---------------------------------------------------------
# usrdef.varEnabled = FALSE,
# usrdef.var = NA, usrdef.varType = "Calendar",
# tradingdays.option = "UserDefined",
# Easter ---------------------------------------------------------------
# easter.type = NA, easter.duration = 6,
# Arima-Model ----------------------------------------------------------
automdl.enabled = FALSE, ######
arima.p = 1, arima.d = 0, arima.q = 0,
arima.bp = 0, arima.bd = 1, arima.bq = 1, arima.mu = TRUE),
# =====================================================================================
# 9
M_N = perTramo(vtD1[, "D11_XDC_W2_M_N"], template = "RSA3",
# Transformation -------------------------------------------------------
transform.function = "Log",
# Outliers -------------------------------------------------------------
outlier.enabled = FALSE,
usrdef.outliersEnabled = TRUE,
usrdef.outliersType = c("LS","LS",
"LS", "AO",
"AO", "LS",
"AO", "AO"),
usrdef.outliersDate = c("1998-07-01", "2007-01-01",
"2008-01-01", "2012-01-01",
"2020-01-01", "2020-04-01",
"2020-10-01", "2021-01-01"),
# Trading Days ---------------------------------------------------------
# usrdef.varEnabled = FALSE,
# usrdef.var = NA, usrdef.varType = "Calendar",
# tradingdays.option = "UserDefined",
# Easter ---------------------------------------------------------------
# easter.type = NA, easter.duration = 6,
# Arima-Model ----------------------------------------------------------
automdl.enabled = FALSE,
arima.p = 2, arima.d = 0, arima.q = 0,
arima.bp = 0, arima.bd = 1, arima.bq = 0, arima.mu = FALSE),
# =====================================================================================
# 10
OTQ = perTramo(vtD1[, "D11_XDC_W2_OTQ"], template = "RSA3",
# Transformation -------------------------------------------------------
transform.function = "Log",
# Outliers -------------------------------------------------------------
outlier.enabled = FALSE,
usrdef.outliersEnabled = TRUE,
usrdef.outliersType = c("AO", "AO"),
usrdef.outliersDate = c("2001-01-01", "2001-07-01"),
# Trading Days ---------------------------------------------------------
# usrdef.varEnabled = FALSE,
# usrdef.var = NA, usrdef.varType = "Calendar",
# tradingdays.option = "UserDefined",
# Easter ---------------------------------------------------------------
# easter.type = NA, easter.duration = 6,
# Arima-Model ----------------------------------------------------------
automdl.enabled = FALSE,
arima.p = 0, arima.d = 1, arima.q = 1,
arima.bp = 0, arima.bd = 1, arima.bq = 0, arima.mu = FALSE),
# =====================================================================================
# 11
RTU = perTramo(vtD1[, "D11_XDC_W2_RTU"], template = "RSA3",
# Transformation -------------------------------------------------------
transform.function = "Log",
# Outliers -------------------------------------------------------------
outlier.enabled = FALSE,
usrdef.outliersEnabled = TRUE,
usrdef.outliersType = c("LS","AO",
"AO"),
usrdef.outliersDate = c("2020-04-01", "2006-01-01", "2007-10-01"),
# Trading Days ---------------------------------------------------------
# usrdef.varEnabled = FALSE,
# usrdef.var = NA, usrdef.varType = "Calendar",
# tradingdays.option = "UserDefined",
# Easter ---------------------------------------------------------------
# easter.type = NA, easter.duration = 6,
# Arima-Model ----------------------------------------------------------
automdl.enabled = FALSE,
arima.p = 0, arima.d = 1, arima.q = 0,
arima.bp = 0, arima.bd = 1, arima.bq = 1, arima.mu = FALSE)
)
vert_D11$run()
output_vtD11 <- lapply(vert_D11$components, function(x){
x$output$final$series
})