Book Image

Hands-On Time Series Analysis with R

By : Rami Krispin
Book Image

Hands-On Time Series Analysis with R

By: Rami Krispin

Overview of this book

Time-series analysis is the art of extracting meaningful insights from, and revealing patterns in, time-series data using statistical and data visualization approaches. These insights and patterns can then be utilized to explore past events and forecast future values in the series. This book explores the basics of time-series analysis with R and lays the foundation you need to build forecasting models. You will learn how to preprocess raw time-series data and clean and manipulate data with packages such as stats, lubridate, xts, and zoo. You will analyze data using both descriptive statistics and rich data visualization tools in R including the TSstudio, plotly, and ggplot2 packages. The book then delves into traditional forecasting models such as time-series linear regression, exponential smoothing (Holt, Holt-Winter, and more) and Auto-Regressive Integrated Moving Average (ARIMA) models with the stats and forecast packages. You'll also work on advanced time-series regression models with machine learning algorithms such as random forest and Gradient Boosting Machine using the h2o package. By the end of this book, you will have developed the skills necessary for exploring your data, identifying patterns, and building a forecasting model using various traditional and machine learning methods.
Table of Contents (14 chapters)

The stationary process

One of the main assumptions of the ARIMA family of models is that the input series follows the stationary process structure. This assumption is based on the Wold representation theorem, which states that any stationary process can be represented as a linear combination of white noise. Therefore, before we dive into the ARIMA model components, let's pause and talk about the stationary process. The stationary process, in the context of time series data, describes a stochastic state of the series. Time series data is stationary if the following conditions are taking place:

  • The mean and variance of the series do not change over time
  • The correlation structure of the series, along with its lags, remains the same over time

In the following examples, we will utilize the arima.sim function from the stats package to simulate a stationary and non-stationary...