Time series analysis. Example Objectives of time series analysis.

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Presentation transcript:

Time series analysis

Example

Objectives of time series analysis

Classical decomposition: An example

Transformed data

Trend

Residuals

Trend and seasonal variation

Objectives of time series analysis

Unemployment data

Trend

Trend plus seasonal variation

Objectives of time series analysis

Time series models

Gaussian white noise

Time series models

Random walk

Trend and seasonal models

Time series modeling

Nonlinear transformation

Differencing

Differencing and trend

Differencing and seasonal variation

Stationarity

Mean and Autocovariance

Weak stationarity

Stationarity

Covariances

Stationarity

Linear process

AR(1) :0.95

AR(1) :0.5

AR(2): 0.9, 0.2

Sample ACF

Sample ACF for Gaussian noise

Summary for sample ACF

Trend

Sample ACF: Trend

Periodic

Sample ACF: Periodic

ACF: MA(1)

ACF: AR

ARMA

Simulation examples # some AR(1) x1 = arima.sim(list(order=c(1,0,0), ar=.9), n=100) x2 = arima.sim(list(order=c(1,0,0), ar=-.9), n=100) par(mfrow=c(2,1)) plot(x1, main=(expression(AR(1)~~~phi==+.9))) # ~ is a space and == is equal plot(x2, main=(expression(AR(1)~~~phi==-.9))) par(mfcol=c(2,2)) acf(x1, 20) acf(x2, 20) pacf(x1, 20) pacf(x2, 20) # an MA1 x = arima.sim(list(order=c(0,0,1), ma=.8), n=100) par(mfcol=c(3,1)) plot(x, main=(expression(MA(1)~~~theta==.8))) acf(x,20) pacf(x,20) # an AR2 x = arima.sim(list(order=c(2,0,0), ar=c(1,-.9)), n=100) par(mfcol=c(3,1)) plot(x, main=(expression(AR(2)~~~phi[1]==1~~~phi[2]==-.9))) acf(x, 20) pacf(x, 20)

Simulation example x = arima.sim(list(order=c(1,0,1), ar=.9, ma=-.5), n=100) # simulate some data (x.fit = arima(x, order = c(1, 0, 1))) # fit the model and print the results tsdiag(x.fit, gof.lag=20)# diagnostics x.fore = predict(x.fit, n.ahead=10) # plot the forecasts U = x.fore$pred + 2*x.fore$se L = x.fore$pred - 2*x.fore$se minx=min(x,L) maxx=max(x,U) ts.plot(x,x.fore$pred,col=1:2, ylim=c(minx,maxx)) lines(U, col="blue", lty="dashed") lines(L, col="blue", lty="dashed")

Examples library(tseries) air <- AirPassengers ts.plot(air) acf(air) pacf(air)

Examples For classical decomposition: plot(decompose(air)) Fitting an ARIMA model: air.fit<-arima(air,order=c(0,1,1),seasonal=list(order=c(0,1,1),period=12)) tsdiag(air.fit) Forecasting: library(forecast) air.forecast <- forecast(air.fit) plot.forecast(air.forecast)