1773 search results for "time series"

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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Time series cross-validation 2

November 22, 2011
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Time series cross-validation 2

In my previous post, I shared a function for parallel time-series cross-validation, based on Rob Hyndman's code.  I thought I'd expand on that example a little bit, and share some additional wrapper functions I wrote to test other forecasting&nbsp...

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Functional and Parallel time series cross-validation

November 21, 2011
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Functional and Parallel time series cross-validation

Rob Hyndman has a great post on his blog with example on how to cross-validate a time series model.  The basic concept is simple:  You start with a minimum number of observations (k), and fit a model (e.g. an arima model) to those observation...

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Simple time series plot using R : Part 2

October 4, 2011
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Simple time series plot using R : Part 2

I would like to share my experience of plotting different time series in the same plot for comparison. As an assignment I had to plot the time series of Infant mortality rate(IMR) along with the SOX emission(sulphur emission) for the past 5 decades in ...

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Time series equivalence of brains and markets

September 27, 2011
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Time series equivalence of brains and markets

fMRI data from 90 locations in the brain look somewhat like daily closing prices on 116 stocks if you squint just right. Marginal Revolution was nice enough to point to “Topological isomorphisms of human brain and financial market networks”. I’ve only just glanced through the paper.  I find it interesting, but I’m fairly skeptical.  The … Continue reading...

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How to extract time series from large timestamped logs with R

September 16, 2011
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Revolution Analytics' Joe Rickert has a new post on inside-R.org, demonstrating how you can use R and the RevoScaleR package to extract time series data from time-stamped logs (in this case, the "US Domestic Flights From 1990 to 2009" dataset on Infochimps): Analyzing time series data of all sorts is a fundamental business analytics task to which the R...

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Time series cross-validation: an R example

August 25, 2011
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Time series cross-validation: an R example

I was recently asked how to implement time series cross-validation in R. Time series people would normally call this “forecast evaluation with a rolling origin” or something similar, but it is the natural and obvious analogue to leave-one-out cross-validation for cross-sectional data, so I prefer to call it “time series cross-validation”. Here is some example

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How to access 100M time series in R in under 60 seconds

August 25, 2011
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How to access 100M time series in R in under 60 seconds

DataMarket, a portal that provides access to more than 14,000 data sets from various public and private sector organizations, has more than 100 million time series available for download and analysis. (Check out this presentation for more info about DataMarket.) And now with the new package rdatamarket, it's trivially easy to import those time series into R for charting,...

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