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2 Lecture2 Codenotes

The document provides lecture notes on time series analysis using R. It introduces the fpp and tsibble packages for working with time series data. It shows how to load and prepare data, aggregate it to different time scales like monthly and yearly, and visualize the results. Weather data from airports is also loaded and processed as a time series.

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ThouhidAlam
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33 views11 pages

2 Lecture2 Codenotes

The document provides lecture notes on time series analysis using R. It introduces the fpp and tsibble packages for working with time series data. It shows how to load and prepare data, aggregate it to different time scales like monthly and yearly, and visualize the results. Weather data from airports is also loaded and processed as a time series.

Uploaded by

ThouhidAlam
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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BAN430: Lecture 2 notes

Sondre Hølleland

2023-01-18

Warm-up
library(fpp3) # note that this also loads the tidyverse packages

## -- Attaching packages -------------------------------------------- fpp3 0.4.0 --


## v tibble 3.1.8 v tsibble 1.1.3
## v dplyr 1.0.10 v tsibbledata 0.4.1
## v tidyr 1.2.1 v feasts 0.3.0
## v lubridate 1.9.0 v fable 0.3.2
## v ggplot2 3.4.0
## -- Conflicts ------------------------------------------------- fpp3_conflicts --
## x lubridate::date() masks base::date()
## x dplyr::filter() masks stats::filter()
## x tsibble::intersect() masks base::intersect()
## x tsibble::interval() masks lubridate::interval()
## x dplyr::lag() masks stats::lag()
## x tsibble::setdiff() masks base::setdiff()
## x tsibble::union() masks base::union()
library(readxl)

# -- Read data --
dat <- read_excel("data/US10YTRR.xlsx", sheet = "Mid")

# To distinguish functions from the column names


names(dat) <- toupper(names(dat))

dat %>% mutate(DATE = as.Date(DATE)) # base R

## # A tibble: 8,804 x 2
## DATE PRICE
## <date> <dbl>
## 1 2022-08-30 96.9
## 2 2022-08-29 96.9
## 3 2022-08-26 97.6
## 4 2022-08-25 97.6
## 5 2022-08-24 96.9
## 6 2022-08-23 97.4
## 7 2022-08-22 97.7
## 8 2022-08-19 98.1
## 9 2022-08-18 98.8

1
## 10 2022-08-17 98.7
## # ... with 8,794 more rows
dat <- dat %>% mutate(DATE = date(DATE)) # lubridate function

mdat <- dat %>%


mutate(YEAR = year(DATE)) %>% # point 4
# filter(year >= 2010, year < 2022)
filter(between(YEAR, 2010,2021)) %>%
select(-YEAR) %>%
mutate(YEARMONTH = tsibble::yearmonth(DATE)) %>%
group_by(YEARMONTH) %>%
summarize(MEANPRICE = mean(PRICE, na.rm =T))

mdat %>%
ggplot(aes(x= YEARMONTH, y = MEANPRICE)) +
geom_line()

108

104
MEANPRICE

100

96

2010 Jan 2015 Jan 2020 Jan


YEARMONTH

mdat %>%
ggplot(aes(x= YEARMONTH, y = MEANPRICE)) +
geom_point()

2
108

104
MEANPRICE

100

96

2010 Jan 2015 Jan 2020 Jan


YEARMONTH

mdat %>%
ggplot(aes(x= YEARMONTH, y = MEANPRICE)) +
geom_line() +
geom_point()

108

104
MEANPRICE

100

96

2010 Jan 2015 Jan 2020 Jan


YEARMONTH

mdat %>%
ggplot(aes(x= YEARMONTH, y = MEANPRICE)) +
geom_line(col = "blue") +
geom_point(col = "green")

3
108

104
MEANPRICE

100

96

2010 Jan 2015 Jan 2020 Jan


YEARMONTH

mdat %>%
ggplot(aes(x= YEARMONTH, y = MEANPRICE)) +
geom_line(col = "blue") +
geom_point(col = "green", size =3)

108

104
MEANPRICE

100

96

2010 Jan 2015 Jan 2020 Jan


YEARMONTH

mdat %>%
ggplot(aes(x= YEARMONTH, y = MEANPRICE)) +
geom_line(col = "blue") +
geom_point(col = "green", size =3) +
theme_bw() +
scale_x_yearmonth(breaks = seq(yearmonth("2010 Jan"), yearmonth("2022 Jan"), by = 12),
labels = 2010:2022)+
theme(panel.grid.minor = element_blank())+
labs(y = "Monthly 10Y US bond index",
x = "Time (month)")

4
Monthly 10Y US bond index 108

104

100

96

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Time (month)

tsibble
Now, we will move from the tidyverse to the tidyverts!
dat_tsbl <- dat %>%
as_tsibble(index = DATE)
class(dat_tsbl)

## [1] "tbl_ts" "tbl_df" "tbl" "data.frame"


dat_tsbl %>%
autoplot() # .vars = PRICE

## Plot variable not specified, automatically selected `.vars = PRICE`

110
PRICE

100

90

1990 2000 2010 2020


DATE [1D]

# Change the default theme:


theme_set(theme_bw())

5
dat_tsbl %>%
autoplot(.vars = PRICE, color = "magenta")

110
PRICE

100

90

1990 2000 2010 2020


DATE [1D]

Easy to aggregate to different time scales:


# MONTHLY
dat_tsbl %>%
index_by(YEARMONTH = ~ yearmonth(.)) %>%
summarise(
MEANPRICE = mean(PRICE, na.rm = TRUE)
) %>%
autoplot(MEANPRICE)

110
MEANPRICE

105

100

95

1990 Jan 2000 Jan 2010 Jan 2020 Jan


YEARMONTH [1M]

# QUARTERLY
dat_tsbl %>%

6
index_by(YEARQUARTER = ~ yearquarter(.)) %>%
summarise(
MEANPRICE = mean(PRICE, na.rm = TRUE)
) %>%
autoplot(MEANPRICE)

105.0

102.5
MEANPRICE

100.0

97.5

1990 Q1 2000 Q1 2010 Q1 2020 Q1


YEARQUARTER [1Q]

# WEEKLY
dat_tsbl %>%
index_by(YEARWEEK = ~ yearweek(.)) %>%
summarise(
MEANPRICE = mean(PRICE, na.rm = TRUE)
) %>%
autoplot(MEANPRICE)

115

110
MEANPRICE

105

100

95

90
1990 W01 1999 W52 2009 W53 2020 W01
YEARWEEK [1W]

# YEARLY
dat_tsbl %>%
index_by(YEARWEEK = ~ year(.)) %>%

7
summarise(
MEANPRICE = mean(PRICE, na.rm = TRUE)
) %>%
autoplot(MEANPRICE)

102

101
MEANPRICE

100

99

98

1990 2000 2010 2020


YEARWEEK [1Y]

Weather data from NY airports


weather <- nycflights13::weather %>%
select(origin, time_hour, temp, humid, precip)
weather_tsbl <- as_tsibble(weather, key = origin, index = time_hour)
weather_tsbl

## # A tsibble: 26,115 x 5 [1h] <America/New_York>


## # Key: origin [3]
## origin time_hour temp humid precip
## <chr> <dttm> <dbl> <dbl> <dbl>
## 1 EWR 2013-01-01 01:00:00 39.0 59.4 0
## 2 EWR 2013-01-01 02:00:00 39.0 61.6 0
## 3 EWR 2013-01-01 03:00:00 39.0 64.4 0
## 4 EWR 2013-01-01 04:00:00 39.9 62.2 0
## 5 EWR 2013-01-01 05:00:00 39.0 64.4 0
## 6 EWR 2013-01-01 06:00:00 37.9 67.2 0
## 7 EWR 2013-01-01 07:00:00 39.0 64.4 0
## 8 EWR 2013-01-01 08:00:00 39.9 62.2 0
## 9 EWR 2013-01-01 09:00:00 39.9 62.2 0
## 10 EWR 2013-01-01 10:00:00 41 59.6 0
## # ... with 26,105 more rows
full_weather <- weather_tsbl %>%
fill_gaps(precip = 0) %>%
group_by_key() %>%
tidyr::fill(temp, humid, .direction = "down")
full_weather

## # A tsibble: 26,190 x 5 [1h] <America/New_York>

8
## # Key: origin [3]
## # Groups: origin [3]
## origin time_hour temp humid precip
## <chr> <dttm> <dbl> <dbl> <dbl>
## 1 EWR 2013-01-01 01:00:00 39.0 59.4 0
## 2 EWR 2013-01-01 02:00:00 39.0 61.6 0
## 3 EWR 2013-01-01 03:00:00 39.0 64.4 0
## 4 EWR 2013-01-01 04:00:00 39.9 62.2 0
## 5 EWR 2013-01-01 05:00:00 39.0 64.4 0
## 6 EWR 2013-01-01 06:00:00 37.9 67.2 0
## 7 EWR 2013-01-01 07:00:00 39.0 64.4 0
## 8 EWR 2013-01-01 08:00:00 39.9 62.2 0
## 9 EWR 2013-01-01 09:00:00 39.9 62.2 0
## 10 EWR 2013-01-01 10:00:00 41 59.6 0
## # ... with 26,180 more rows
full_weather %>%
group_by_key() %>%
index_by(year_month = ~ yearmonth(.)) %>% # monthly aggregates
summarise(
avg_temp = mean(temp, na.rm = TRUE),
ttl_precip = sum(precip, na.rm = TRUE)
) %>%
autoplot(ttl_precip)

7.5

origin
ttl_precip

5.0 EWR
JFK
LGA
2.5

0.0
2013 Jan 2013 Apr 2013 Jul 2013 Oct
year_month [1M]

Power example
windpower <- readRDS("data/OffshoreWindtwoLocationsFiveYears.rds")

wind_tsbl <- windpower %>%


as_tsibble(key = Place, index = datetime)
wind_tsbl %>%
autoplot(powerprod)

9
1.5e+07

1.0e+07
powerprod

Place
Sørlig Nordsjø 2
Utsira Nord
5.0e+06

0.0e+00
2016 2018 2020
datetime [1h]

wind_tsbl %>%
group_by_key() %>%
index_by(date = ~ as.Date(.)) %>%
summarise(
Power = mean(powerprod, na.rm = TRUE)
) %>%
autoplot(Power)

1.5e+07

1.0e+07
Place
Power

Sørlig Nordsjø 2
Utsira Nord
5.0e+06

0.0e+00
2016 2018 2020
date [1D]

wind_tsbl %>%
group_by_key() %>%
index_by(YEARMONTH = ~ yearmonth(.)) %>%
summarise(
Power = mean(powerprod, na.rm = TRUE)
) %>%
autoplot(Power)

10
1.3e+07

1.1e+07

Place
Power

Sørlig Nordsjø 2
9.0e+06
Utsira Nord

7.0e+06

2016 Jan 2018 Jan 2020 Jan


YEARMONTH [1M]

11

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