Bernard Szlachta at 09:17, 6 March 2016

2016-03-06T09:17:13Z

New page

[[Category:Intro to R|89]]
{{Cat|Forecasting|001}}
== Time Series Libraries ==
* ts() from ''stats'' package
* zoo
* xts

== Graphing Time Series ==
<source lang="rsplus">
s <- read.table("http://training-course-material.com/images/1/19/Sales-time-series.txt",h=T)
s$Date <- as.Date(s$Date)
head(s)
plot(s)

# Using build in ts object
sts <- ts(s$Price,start=2002,deltat=1/12)
plot(sts)

# using xts
install.packages("xts")
library("xts")
Price <- xts(s$Price,s$Date)
head(Price)
tail(Price)
plot(Price)
</source>

== Filtering xts series ==
<source lang="rsplus">
#12 to 16th observation
Price[12:16]

#2nd to 4th in reverse order
Price[4:2]

#1st, 13th and 25th oveservation
Price[c(1,13,25)]

# Prices only in 2005
Price["2005"]
# Prices in Jan 2005
Price["2005-01"]
# Prices from 2005 Jan to 2007 March
Price["2005-01/2007-03"]
# Prices from the beginning of the data untill 2008
Price["2005-01/2008"]

# Price in first year
first(Price,"year")

first(Price,"2 months")
last(Price,"3 quarters")
</source>

== Getting rid of trend ==
<source lang="rsplus">
# Shows the dates
index(Price)

# Returns the Prices value
coredata(Price)

#Plot the function
plot(coredata(Price) ~ index(Price),type="l",ylim=c(-3,13))

# Fit the trend line
m <- lm(coredata(Price) ~ index(Price))

# Validate the model
summary(m)

# Plot the trend
abline(m)

# The same as above
lines(m$fitted.values ~ index(Price))

# m$residuals = $fitted - index(Price)

# Plot the detrended values
lines(m$residuals ~ index(Price),type="l",col="blue")

# Plot relative detrended Prices
detrendPrice <- m$residuals
plot(xts(detrendPrice/mean(Price),index(Price)),type="l")
</source>

== Exercise ==
Detrend the Sales volume and plot a chart

R - Time Series - Revision history

Bernard Szlachta at 09:17, 6 March 2016