Descomposicion de Series Temporales

Cargando datos

library(readxl)

base <- read_excel("C:/Users/Javi/Desktop/ECONOMETRIA/base.xlsx",
                    col_types = c("skip", "numeric"),
                   skip = 5)

Descomposición de Series Temporales por el Enfoque Tradicional

library(forecast)

base<- ts(data = base,start = c(2009, 1),frequency = 12)

base %>%autoplot(main = "IVAE, El Salvador 2009-2021[marzo]",xlab = "Años/Meses",ylab = "Indice")

Modelo Aditivo

Componente de Tendencia Tt (Componente TCt)

ma2_12<- ma(base, 12, centre = TRUE)
autoplot(base,main = "IVAE, El Salvador 2009-2021[marzo]",xlab = "Años/Meses", ylab = "Indice")+autolayer(ma2_12,series = "Tt")

Calculo de los factores estacionales (componente st)

library(magrittr)
Yt <- base
Tt <- ma2_12
SI <- Yt - Tt

St <- tapply(SI, cycle(SI), mean, na.rm = TRUE)
St <- St - sum(St) / 12 

St<-rep(St, len = length(Yt)) %>% ts(start = c(2009, 1), frequency = 12) 
autoplot(St,main = "Factores Estacionales", xlab = "Años/Meses", ylab = "Factor Estacional")

Cálculo del Componente Irregular It

It<-Yt-Tt-St
autoplot(It,
         main = "Componente Irregular",
         xlab = "Años/Meses",
         ylab = "It")

## Descomposición Aditiva (usando la libreria stats)

aditiva_descomposicion<-decompose(base,type = "additive")
autoplot(aditiva_descomposicion,main="Descomposición Aditiva",xlab="Años/Meses")

### Descomposición Aditiva usando libreria feasts

library(tsibble)
library(feasts)
library(ggplot2)
Yt %>% as_tsibble() %>%
  model(
    classical_decomposition(value, type = "additive")
  ) %>%
  components() %>%
  autoplot() +
  labs(title = "Descomposición Clásica Aditiva, IVAE")+xlab("Años/Meses")

MODELO MULTIPLICATIVO

Componente Tendencia Ciclo [Tt=TCt]

Tt<- ma(base, 12, centre = TRUE)
autoplot(Tt,main = "Componente Tendencia [Ciclo]", xlab = "Años/Meses",ylab = "TT")

Cálculo de Factores Estacionales [St]

SI<-Yt/Tt
St <- tapply(SI, cycle(SI), mean, na.rm = TRUE) 
St <- St*12/sum(St) 

St <-
  rep(St, len = length(Yt)) %>% ts(start = c(2009, 1), frequency = 12) 
autoplot(St,
         main = "Factores Estacionales",
         xlab = "Años/Meses",
         ylab = "Factor Estacional") 

Cálculo del Componente Irregular [It]

It<-Yt/(Tt*St)
autoplot(It,
         main = "Componente Irregular",
         xlab = "Años/Meses",
         ylab = "It")

Descomposición Multiplicativa (usando la libreria stats)

descomposicion_multiplicatica<-decompose(base,type = "multiplicative")
autoplot(descomposicion_multiplicatica,main="Descomposición Multiplicativa",xlab="Años/Meses")

Descomposición Multiplicativa usando libreria feasts

library(tsibble)
library(feasts)
library(ggplot2)

Yt %>% as_tsibble() %>%
  model(
    classical_decomposition(value, type = "multiplicative")
  ) %>%
  components() %>%
  autoplot() +
  labs(title = "Descomposición Clásica Multiplicativa, IVAE")+xlab("Años/Meses")