Professional Documents
Culture Documents
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
18 July 2011
Conclusions
1/42
Outline
Conclusions
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
2/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
3/42
R and Time
Series Data
Time Series
Decomposition
class ts
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
4/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
5/42
Outline
Conclusions
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
6/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
7/42
Data AirPassengers
600
Time Series
Forecasting
R Functions &
Packages for
Time Series
AirPassengers
Time Series
Classification
500
Time Series
Clustering
400
Time Series
Decomposition
300
R and Time
Series Data
100
200
Conclusions
1950
1952
1954
1956
1958
1960
8/42
Decomposition
R and Time
Series Data
Time Series
Decomposition
>
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Time Series
Forecasting
60
40
Time Series
Clustering
f$figure
20
R Functions &
Packages for
Time Series
20
Time Series
Classification
40
Conclusions
10
12
Index
9/42
Decomposition
> plot(f)
300
observed
450100
350
40
0
60 40
0 20
Conclusions
random
R Functions &
Packages for
Time Series
40
Time Series
Classification
seasonal
150
Time Series
Clustering
trend
Time Series
Forecasting
250
Time Series
Decomposition
500
R and Time
Series Data
10
12
Time
10/42
Outline
Conclusions
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
11/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
12/42
Forecasting
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
>
>
+
>
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>
+
+
13/42
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
500
400
Time Series
Forecasting
300
Time Series
Decomposition
200
R and Time
Series Data
Actual
Forecast
Error Bounds (95% Confidence)
600
700
Forecasting
100
Conclusions
1950
1952
1954
1956
Time
1958
1960
1962
14/42
Outline
Conclusions
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
15/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
16/42
Time Series
Decomposition
Time Series
Forecasting
1.0
Time Series
Clustering
Query value
R Functions &
Packages for
Time Series
0.5
Time Series
Classification
0.0
R and Time
Series Data
1.0
0.5
Conclusions
20
40
60
Index
80
100
17/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
http://kdd.ics.uci.edu/databases/synthetic_control/synthetic_
control.html
18/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
>
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>
Conclusions
19/42
20
301
10
30
28
26
45
40
30
35
401
35
101
35 25
25
501
25
10
30
15
Conclusions
20
201
40
30
45
Time Series
Classification
R Functions &
Packages for
Time Series
25
Time Series
Clustering
15
Time Series
Forecasting
45 24
Time Series
Decomposition
35
R and Time
Series Data
32
34
30
36
Six Classes
10
20
30
Time
40
50
60
10
20
30
40
50
60
Time
20/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
>
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21/42
120
140
R and Time
Series Data
100
Time Series
Decomposition
22
80
20
Conclusions
6
64
6
6
6
6
6
6
6
6
4 4
4
4
4
44
4
4
3
33
3
3
3
5
5
5
55
5
3
33
3
5
55
5 2
22
2
2 2
2
2
1
1
11
1
1
11
1
1
R Functions &
Packages for
Time Series
60
Time Series
Classification
40
Time Series
Clustering
Height
Time Series
Forecasting
22/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
2
0
3
0
0
0
0
3
0
1
0
0
0
0
4
0
1
0
0
0
0
5
0
3
0
0
0
0
6 7 8
0 0 0
2 0 0
0 10 0
0 0 10
0 10 0
0 0 10
23/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
>
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>
>
memb
observedLabels 1
1 10
2 0
3 0
4 0
5 0
6 0
2
0
4
0
0
0
0
3
0
3
0
0
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0
4
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2
0
0
0
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0
1
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0
0
0
6 7 8
0 0 0
0 0 0
6 4 0
0 0 10
0 10 0
0 0 10
24/42
1000
800
R and Time
Series Data
22
2
22
22
22
2
Conclusions
3
3
33
3
35
5
33
3
35
5
55
5
55
56
66
4
64
4
4
4
44
44
4 6
6
66
6
61
11
1
11
1
1
1
1
R Functions &
Packages for
Time Series
200
Time Series
Classification
Time Series
Clustering
Height
Time Series
Forecasting
400
600
Time Series
Decomposition
25/42
Outline
Conclusions
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
26/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
28/42
Decision Tree
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
3
4
0
0
2
0
99
0
0 100
8
0
0 90
5
0
0
1
0
88
0
6
0
0
0
0
0
7
> # accuracy
> (sum(classId==pClassId)) / nrow(sc)
[1] 0.8183333
29/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
>
>
>
>
+
+
+
+
+
>
>
31/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
> 117
W43
V57
> 4
140
> 140
11
W5
W31
V57
178
> 8
> 6
17
W31
> 6
15
Node 5 (n = 6)
1
Node 7 (n = 9)
1
Node 8 (n = 86)
1
Node 10 (n = 31)
1
Node 13 (n = 80)
1
> 15
14
19
W31
W43
13
Node 4 (n = 68)
1
> 178
12
W22
Node 15 (n = 9)
1
> 13
Node 16 (n = 99)
1
3
Node 18 (n = 12)
1
Node 20 (n = 103)
1
>3
Node 21 (n = 97)
1
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.6
0.6
0.6
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0.6
0.6
0.6
0.6
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0.6
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0.4
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0.4
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0.4
0.4
0.2
0.2
0.2
0.2
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0.2
0.2
0.2
0.2
0.2
123456
123456
123456
123456
123456
123456
123456
123456
123456
0.2
0
123456
123456
k-NN Classification
find the k nearest neighbours of a new instance
label it by majority voting
needs an efficient indexing structure for large datasets
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
>
>
>
>
>
>
k <- 20
newTS <- sc[501,] + runif(100)*15
distances <- dist(newTS, sc, method="DTW")
s <- sort(as.vector(distances), index.return=TRUE)
# class IDs of k nearest neighbours
table(classId[s$ix[1:k]])
4 6
3 17
Results of Majority Voting
Label of newTS class 6
34/42
Outline
Conclusions
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
35/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
Construction
ts() create time-series objects (stats)
Plot
plot.ts() plot time-series objects (stats)
Smoothing & Filtering
smoothts() time series smoothing (ast)
sfilter() remove seasonal fluctuation using moving
average (ast)
36/42
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
Decomposition
decomp() time series decomposition by square-root filter
(timsac)
decompose() classical seasonal decomposition by moving
averages (stats)
stl() seasonal decomposition of time series by loess
(stats)
tsr() time series decomposition (ast)
ardec() time series autoregressive decomposition
(ArDec)
Forecasting
arima() fit an ARIMA model to a univariate time series
(stats)
predict.Arima() forecast from models fitted by arima
(stats)
37/42
Packages
Packages
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
Online Resources
An R Time Series Tutorial
http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
intro.pdf
Outline
Conclusions
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
40/42
Conclusions
R and Time
Series Data
Time Series
Decomposition
Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
The End
R and Time
Series Data
Time Series
Decomposition
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Time Series
Forecasting
Time Series
Clustering
Time Series
Classification
R Functions &
Packages for
Time Series
Conclusions
42/42