Practice of Introductory Time Series with R

YIK LUN, KEI

allen29@ucla.edu

Reference:
Cowpertwait, Paul SP, and Andrew V. Metcalfe. Introductory time series with
R. Springer Science & Business Media, 2009.
Onlinecourses.science.psu.edu,. 1.3 R Code For Two Examples In Lessons 1.1
And 1.2 | STAT 510. N.p., 2015. Web. 10 Aug. 2015.
This paper is a practice from the book called Introductory Time Series with R by by Paul Cowpertwait and Andrew Metcalfe, and from the website: onlinecourses.science.psu.edu/stat510/node/61.
All R codes and some comments below are belonged to the book and the website. Dataset
can be searched from Google.
Fact <- function(n) if (n == 1) 1 else n * Fact(n - 1) # one line function
Fact(6) # 6*5*4*3*2*1=720
## [1] 720
data(AirPassengers)
AP <- AirPassengers
aggregate(AP,FUN=mean) # to remove any seasonal effects
##
##
##
##
##
##

Time Series:
Start = 1949
End = 1960
Frequency = 1
[1] 126.6667 139.6667 170.1667 197.0000 225.0000 238.9167 284.0000
[8] 328.2500 368.4167 381.0000 428.3333 476.1667

plot(AP, ylab = "Passengers (1000's)")

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100

Passengers (1000's)

1950

1952

1954

1956

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Time

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2000

aggregate(AP)

plot(aggregate(AP)) # plot the sum for each year

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1952

1954
Time

1956

1958

1960

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boxplot(AP ~ cycle(AP))

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11

12

data <- "http://rci.rutgers.edu/~rwomack/UNRATE.csv"

data2<- "http://rci.rutgers.edu/~rwomack/CPIAUCSL.csv"
unemployment <- read.csv(data, row.name=1) # convert first column to row name
inflation <- read.csv(data2,row.name=1) # convert first column to row name
un.month.ts <- ts(unemployment$VALUE, start = c(1948,1), freq = 12)
un.annual.ts <- aggregate(un.month.ts)/12 # mean annual rate
in.month.ts <- ts(inflation$VALUE, start = c(1948, 1), freq = 12)
in.annual.ts <- aggregate(in.month.ts)/12 # mean annual rate
plot(un.month.ts, ylab = "unemployed (%)")

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8
6
4

unemployed (%)

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Time

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unemployed (%)

plot(un.annual.ts, ylab = "unemployed (%)")

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Time

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2010

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5
0

inflation (%)

15

plot(in.month.ts, ylab = "inflation (%)")

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2010

Time

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5
0

inflation (%)

plot(in.annual.ts, ylab = "inflation (%)")

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Time

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2010

fivemonths<- window(un.month.ts, start = c(1996,2), end = c(1996,6), freq = 12)

fivemonths
##
Feb Mar Apr May Jun
## 1996 5.5 5.5 5.6 5.6 5.3
unemployment<-read.csv("/Users/air/Desktop/Econ 144/Chapter01Maine.csv")
un.month.ts<-ts(unemployment$unemploy,start=c(1996,1),freq=12)
un.Feb <- window(un.month.ts, start = c(1996,2), freq = TRUE) # capture only Feb
un.Aug <- window(un.month.ts, start = c(1996,8), freq = TRUE) # capture only Aug
Feb.ratio <- mean(un.Feb) / mean(un.month.ts)
# ratio = mean of Feb of all years / mean of all month of all years
Aug.ratio <- mean(un.Aug) / mean(un.month.ts)
Feb.ratio;Aug.ratio #On average, unemployment is 22% higher in February and 18% lower in August
## [1] 1.222529
## [1] 0.8163732
CBE <- read.csv("/Users/air/Desktop/Econ 144/Chapter01cbe.csv")
Elec.ts <- ts(CBE[, 3], start = 1958, freq = 12)
Beer.ts <- ts(CBE[, 2], start = 1958, freq = 12)
Choc.ts <- ts(CBE[, 1], start = 1958, freq = 12)
plot(cbind(Elec.ts, Beer.ts, Choc.ts))

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2002000
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Choc.ts

Beer.ts

Elec.ts

cbind(Elec.ts, Beer.ts, Choc.ts)

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1965

1970

1975

Time

1980

1985

1990

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Air passengers / 1000's

AP.elec <- ts.intersect(AP, Elec.ts) # only time frame that overlaps

AP <- AP.elec[,1]; Elec <- AP.elec[,2]
plot(AP, ylab = "Air passengers / 1000's")

1958.0

1958.5

1959.0

1959.5
Time

plot(Elec, ylab = "Electricity production / MkWh")

1960.0

1960.5

1961.0

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Electricity production / MkWh

1958.0

1958.5

1959.0

1959.5

1960.0

1960.5

Time

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1600

Electricity production / MWh

plot(as.vector(AP), as.vector(Elec),xlab = "Air passengers / 1000's",

ylab = "Electricity production / MWh")
abline(reg = lm(Elec ~ AP),col="red") # not causation

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Air passengers / 1000's

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600

1961.0

0.0
0.5
1.0

Global.ts

0.5

Global<-scan("http://elena.aut.ac.nz/~pcowpert/ts/global.dat")
Global.ts <- ts(Global, st = c(1856, 1), end = c(2005, 12), freq = 12)
Global.annual <- aggregate(Global.ts, FUN = mean)
plot(Global.ts)

1900

1950
Time

plot(Global.annual)

2000

0.4
0.0
0.4

Global.annual

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1950

2000

Time

0.4
0.0
0.4

New.series

0.8

New.series <- window(Global.ts, start=c(1970, 1), end=c(2005, 12))

plot(New.series)
abline(reg=lm(New.series ~ time(New.series)),col="red") # function ot time t

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Time

10

1995

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2005

plot(decompose(Elec.ts))

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100002000
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600500
600 0

random seasonal trend observed

Decomposition of additive time series

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Time

Elec.decom <- decompose(Elec.ts, type = "mult")

plot(Elec.decom)

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1980

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1990

12000
100002000
1.05 2000
1.02 0.90
0.94

random seasonal trend observed

Decomposition of multiplicative time series

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Time

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10000 14000

Trend <- Elec.decom$trend

Seasonal <- Elec.decom$seasonal
ts.plot(cbind(Trend, Trend * Seasonal), lty = 1:2) # trend and seasonal effects

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1965

1970

1975
Time

12

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Herald.dat <- read.table("http://elena.aut.ac.nz/~pcowpert/ts/Herald.dat",header=TRUE)

attach (Herald.dat)
x <- CO; y <- Benzoa; n <- length(x)
plot(x,y)
abline(h=mean(y),col="red")
abline(v=mean(x),col="blue")

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x

sum((x - mean(x))*(y - mean(y))) / (n - 1) # covariance

## [1] 5.511042
mean((x - mean(x)) * (y - mean(y))) # covariance
## [1] 5.166602
cov(x, y) # covariance
## [1] 5.511042
cov(x,y) / (sd(x)*sd(y)) # correlation
## [1] 0.3550973

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cor(x,y) # correlation
## [1] 0.3550973

0
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ts(waveht)

500

wave.dat <- read.table ("http://elena.aut.ac.nz/~pcowpert/ts/wave.dat", header=T)

attach(wave.dat)
plot(ts(waveht))

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Time

plot(ts(waveht[1:60]))

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ts(waveht[1:60])

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Time

acf(waveht)$acf[2]

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ACF

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1.0

Series waveht

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Lag

## [1] 0.4702564
15

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25

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waveht[2:397]

plot(waveht[1:396],waveht[2:397])

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waveht[1:396]
acf(waveht, type = c("covariance"))$acf[2]

20000
20000

ACF (cov)

60000

Series waveht

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Lag

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## [1] 33328.39
data(AirPassengers)
AP <- AirPassengers
acf(AP)

0.2

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ACF

0.6

1.0

Series AP

0.0

0.5

1.0
Lag

AP.decom <- decompose(AP, "multiplicative")

plot(ts(AP.decom$random[7:138]))

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1.5

1.10
1.05
1.00
0.95
0.90

ts(AP.decom$random[7:138])

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Time

acf(AP.decom$random[7:138])

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ACF

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1.0

Series AP.decom$random[7:138]

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Lag
#The figure suggests either a cosine shape that is whether a characteristic of an autoregressive model of
order 2 or a not effective seasonal adjustment.

18

The reduction in the standard deviation indicates that the seasonal

adjustment has been very effective.
sd(AP[7:138]) # standard deviation of the original series
## [1] 109.4187
sd(AP[7:138] - AP.decom$trend[7:138]) #original series subtracting the trend
## [1] 41.11491
sd(AP.decom$random[7:138]) # standard deviation after seasonal adjustment
## [1] 0.0333884

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mort

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mort=scan("http://anson.ucdavis.edu/~shumway/cmort.dat")
plot(mort, type="o") # plot of mortality rate

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Index

mort=ts(mort)
mortdiff=diff(mort,1) # creates a variable = x(t) x(t-1)
plot(mortdiff,type="o") # plot of first differences

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mortdiff

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Time

acf(mortdiff,xlim=c(1,24)) # plot of first differences, for 24 lags

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ACF

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1.0

Series mortdiff

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Lag

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mortdifflag1

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mortdifflag1=lag(mortdiff,-1)
plot(mortdifflag1,type="o")

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Time

y=cbind(mortdiff,mortdifflag1) # bind first differences and lagged first differences

mortdiffar1=lm(y[,1]~y[,2]) # AR(1) regression for first differences
summary(mortdiffar1) # regression results
##
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##
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##
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##
##
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##
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##
##

Call:
lm(formula = y[, 1] ~ y[, 2])
Residuals:
Min
1Q
-19.2758 -3.8753

Median
-0.0953

3Q
3.5725

Max
20.8169

Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.04627
0.25900 -0.179
0.858
y[, 2]
-0.50636
0.03838 -13.195
<2e-16 ***
--Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 5.826 on 504 degrees of freedom
(2 observations deleted due to missingness)
Multiple R-squared: 0.2568, Adjusted R-squared: 0.2553
F-statistic: 174.1 on 1 and 504 DF, p-value: < 2.2e-16

21

acf(mortdiffar1$residuals, xlim = c(1,24)) # ACF of residuals for 24 lags.

0.4
0.0

ACF

0.8

Series mortdiffar1$residuals

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Lag

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