1877 search results for "time series"

Estimating a nonlinear time series model in R

January 20, 2014
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Estimating a nonlinear time series model in R

There are quite a few R packages available for nonlinear time series analysis, but sometimes you need to code your own models. Here is a simple example to show how it can be done. The model is a first order threshold autoregression:     where is a Gaussian white noise series with variance . The following function will generate...

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Detecting a Time Series Change Point

January 4, 2014
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Detecting a Time Series Change Point

In this example we will detect the change point in a time series of counts using Bayesian methodology. A natural solution to this problem utilizes a Gibbs sampler. We’ll first implement the sampler in R naively, then create a vectorized R implementation, and lastly create an implementation of the sampler using Rcpp and RcppArmadillo. We will compare these implementations...

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Spurious Regression of Time Series

December 30, 2013
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Spurious Regression of Time Series

spu.ri.ousadjective : not...

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Local Council Spending Data – Time Series Charts

November 6, 2013
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Local Council Spending Data – Time Series Charts

In What Role, If Any, Does Spending Data Have to Play in Local Council Budget Consultations? I started wondering about the extent to which local spending transparency data might play a role in supporting consultation around new budgets. As a first pass, I’ve popped up a quick application up at http://glimmer.rstudio.com/psychemedia/iwspend2013_14/ (shiny code here). You

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Time series plots in R

October 23, 2013
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Time series plots in R

I recently coauthored a couple of papers on trends in environmental data (Curtis & Simpson in press; Monteith et al. in press), which we estimated using GAMs. Both papers included plots like the one shown below wherein we show the estimated trend and associated point-wise 95% confidence interval, plus some other markings. The coloured sections show...

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Time Series Decomposition

August 12, 2013
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Time Series Decomposition

In the last post on the changepoint package, I concluded with a brief example of time series decomposition with the "decompose" command.  After further reading, I discovered the "stl" command, which to me appears a superior method.  STL stand...

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Changepoint Analysis of Time Series?

August 4, 2013
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Changepoint Analysis of Time Series?

Last time we downloaded data from quandl.com.  This was privately-owned homes completed in a month in thousands of units(not seasonally adjusted).  Now, let's take a look at some basic R functions to examine time series along with my first ex...

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Quandl.com for Time Series Datasets

July 29, 2013
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If you want to dig in with both feet on time series data, then quandl.com is a good choice.  The website claims to have several million datasets all of them available for free download.  It also allows you to upload data to the site with an a...

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Simple and Advanced Time series with Oracle R Enterprise

July 18, 2013
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Simple and Advanced Time series with Oracle R Enterprise

v\:* {behavior:url(#default#VML);} o\:* {behavior:url(#default#VML);} w\:* {behavior:url(#default#VML);} .shape {behavior:url(#default#VML);} This guest post from Marcos Arancibia describes how to use Oracle R Enterprise to analyze Time Series data. In this article, we give an overview of how to use Time Series Analysis against data stored in Oracle Database, using the Embedded R Execution capability to send time series computations to...

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Detecting regime change in irregular time series

July 11, 2013
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Detecting regime change in irregular time series

In my current research, I am modeling consumer spending behavior to predict future income and spending. To do this I …Continue reading »

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