2360 search results for "Time Series"

Importance of exports and economic growth, cross-country time series

December 11, 2015
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Importance of exports and economic growth, cross-country time series

Exports and economic growth I was looking to show a more substantive piece of analysis using the World Development Indicators data, and at the same time show how to get started on fitting a mixed effects model with grouped time series data. The relationship between exports’ importance in an economy and economic growth forms a good start as it...

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Create ARIMA time series from bottom up

November 20, 2015
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Simulating ARIMA models Generating an arbitrary Auto-Regressive Integrated Moving Average (ARIMA) model is easy in R with the arima.sim() function that is part of the built-in {stats} package. In fact I've done it extensively in previous blog posts for various illustrative purposes. But one cost of doing this for educational purposes is that the mechanics of...

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Linear model with time series random component

November 14, 2015
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Linear model with time series random component

What do auto-correlated residuals do to your linear model? For training purposes I wanted to illustrate the dangers of ignoring time series characteristics of the random part of a classical linear regression, and I came up with this animation to do it: I like this, because it shows how easy it is to fit something that looks to be...

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Autocorrelation functions of materially different time series

September 18, 2015
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Autocorrelation functions of materially different time series

Comparing two timeseries-generating blackboxes This question on Cross-Validated got me interested. I gave a fairly inadequate answer and want to explore a few of the issues. Actually, I have a plan for an effective technique which is what I think the original post was asking for, but I need to check out a few things first. The challenge,...

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Reading Financial Time Series Data with R

September 17, 2015
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Reading Financial Time Series Data with R

by Joseph Rickert In a recent post focused on plotting time series with the new dygraphs package, I did not show how easy it is to read financial data into R. However, in a thoughtful comment to the post, Achim Zeileis pointed out a number of features built into the basic R time series packages that everyone ought to...

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Plotting Time Series in R using Yahoo Finance data

August 27, 2015
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Plotting Time Series in R using Yahoo Finance data

by Joseph Rickert I recently rediscovered the Timely Portfolio post on R Financial Time Series Plotting. If you are not familiar with this gem, it is well-worth the time to stop and have a look at it now. Not only does it contain some useful examples of time series plots mixing different combinations of time series packages (ts, zoo,...

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Time Series Analysis: Building a model on non-stationary time series

August 15, 2015
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Time Series Analysis: Building a model on non-stationary time series

In this post I will give a brief introduction to time series analysis and its applications. We will be using the R package astsa which was developed by professor David Stoffer at the University of Pittsburgh. The textbook it accompanies, which is a good read for anyone interested in the topic, can be found in

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Time series outlier detection (a simple R function)

July 8, 2015
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Time series outlier detection (a simple R function)

(By Andrea Venturini) Imagine you have a lot of time series – they may be short ones – related to a lot of different measures and very little time to find outliers. You need something not too sophisticated to solve quickly the mess. This is – very shortly speaking – the typical situation in which you can adopt washer.AV()...

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R financial time series tips everyone should know about

July 7, 2015
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There are many R time series tutorials floating around on the web this post is not designed to be one of them. Instead I want to introduce a list of the most useful tricks I came across when dealing with financial time series in R. Some of the functions presented here are incredibly powerful but unfortunately buried in the

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Intraday time series analysis of the #rstats hashtag on Twitter

June 11, 2015
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Intraday time series analysis of the #rstats hashtag on Twitter

This post is a lecture for IS624 Predictive Analytics, which is part of the CUNY Master’s program in Data Analytics. …Continue reading →

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