2184 search results for "time series"

Workshop on survival and time series analysis in empirical SE

February 12, 2016
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In January the material in my book on Empirical software engineering using R had its first exposure to professional software developers at a one day workshop (there was a rerun last week; slides here). The sessions were both fully booked, but as often happens on half turned up, around 15 at each workshop. A couple

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An Introduction to Time Series with JSON Data

February 9, 2016
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An Introduction to Time Series with JSON Data

For this post, I wanted to take the data analysis process in a different direction. Normally, an R analysis starts with data from a comma-separated Excel file (.csv) or a tab-separated file (.txt). However, online data is often formatted in JSON, which stands for JavaScript Online Notation. JSON has different forms, but for this data,

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Better prediction intervals for time series forecasts

January 29, 2016
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2016-01-31 15_57_13-Clipboard

Forecast Combination I’ve referred several times to this blog post by Rob Hyndman in which he shows that a simple averaging of the ets() and auto.arima() functions in his {forecast} R package not only out performs ets() and auto.arima() individually (in the long run, not every time), they outperform nearly every method that was entered in the M3...

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Time series analysis with R: Testing stuff with NetAtmo data

December 21, 2015
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Time series analysis with R: Testing stuff with NetAtmo data

I've got a NetAtmo weather station. One can download the measurements from its web interface as a CSV file. I wanted to give time series analysis with the extraction of seasonal components ('decomposition') a try, so I thought it would be a good opportunity to use the temperature measurements of my weather station. The data is available.To...

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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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