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 additive versus the multiplicative model

Now that we have defined the series components, and before we continue onto our next topic, the decomposition of time series, it is time to introduce the additive and multiplicative models. These terms describe the model structure. As the name implies, a model is defined as additive whenever we add together its components:

Similarly, a model is defined as multiplicative whenever we multiply its components:

Here, as before, Yt represents the series observation at time t and , , , and represent the value of the trend, seasonal, cycle, and irregular components of the series at time t, respectively.

We classify a series as additive whenever there is a growth in the trend (with respect to the previous period), or if the amplitude of the seasonal component roughly remains the same over time. On the other hand, we classify a series as...