1723 search results for "time series"

Measuring time series characteristics

May 2, 2012
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Measuring time series characteristics

A few years ago, I was working on a project where we measured various characteristics of a time series and used the information to determine what forecasting method to apply or how to cluster the time series into meaningful groups. The two main papers to come out of that project were: Wang, Smith and Hyndman (2006) Characteristic-​​based clustering for...

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ggplot2 Time Series Heatmaps

April 15, 2012
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ggplot2 Time Series Heatmaps

How do you easily get beautiful calendar heatmaps of time series in ggplot2? E.g:From MarginTaleI was impressed by the lattice-based  implementation from Paul Bleicher of Humedica, which you can find referenced in http://blog.revolutionanalytics.c...

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Time Series Intervention Analysis wih R and SAS

January 21, 2012
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Time Series Intervention Analysis wih R and SAS

In a previous post, I worked through the theory behind intervention analysis. In his time series course, University of Georgia political science professor Jamie Monogan demonstrates how to implement intervention analysis in R.  The following examp...

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Time Series Matching with Dynamic Time Warping

January 20, 2012
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Time Series Matching with Dynamic Time Warping

THIS IS NOT INVESTMENT ADVICE. The information is provided for informational purposes only. In the Time Series Matching post, I used one to one mapping to the compute distance between the query(current pattern) and reference(historical time series). Following chart visualizes this concept. The distance is the sum of vertical lines. An alternative way to map

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Time Series Matching strategy backtest

January 17, 2012
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Time Series Matching strategy backtest

This is a quick post to address comments raised in the Time Series Matching post. I will show a very simple example of backtesting a Time Series Matching strategy using a distance weighted prediction. I have to warn you, the strategy’s performance is worse then the Buy and Hold. I used the code from Time

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Time Series Matching

January 13, 2012
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Time Series Matching

THIS IS NOT INVESTMENT ADVICE. The information is provided for informational purposes only. If it looks like a duck, swims like a duck, and quacks like a duck, then it probably is a duck. Do you want to know what S&P 500 will do in the next week, month, quarter? One way to make an

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Time Series Cointegration in R

January 10, 2012
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Cointegration can be a valuable tool in determining the mean reverting properties of 2 time series. A full description of cointegration can be found on Wikipedia. Essentially, it seeks to find stationary linear combinations of the two vectors. The below R code, which has been modified from here, will test two series for integration and...

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Time Series Cointegration in R

January 10, 2012
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Cointegration can be a valuable tool in determining the mean reverting properties of 2 time series. A full description of cointegration can be found on Wikipedia. Essentially, it seeks to find stationary linear combinations of the two vectors. The below R code, which has been modified from here, will test two series for integration and return the...

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Benchmarking time series models

December 29, 2011
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Benchmarking time series models

This is a quick post on the importance of benchmarking time-series forecasts.  First we need to reload the functions from my last few posts on times-series cross-validation.  (I copied the relevant code at the bottom of this post so you don't...

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Time series cross-validation 3

December 12, 2011
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Time series cross-validation 3

I've updated my time-series cross validation algorithm to fix some bugs and allow for a possible xreg term.     This allows for cross-validation of multivariate models, so long as they are specified as a function with the following ...

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