Advanced time-series analysis

Lisa Tompson
Research Associate
UCL Jill Dando Institute of Crime Science
l.tompson@ucl.ac.uk
UCL DEPARTMENT OF SECURITY AND CRIME SCIENCE
Overview
Fundamental principles of time-ordered data

Introduction to time-series analysis

Revealing trends
Forecasting
Evaluating interventions

Where to find out more

Time-ordered data
Observations are never pure measures of a phenomena

Crime rates can fluctuate over time for a variety of reasons
Such variation is known as random noise

Observations close together in time will be more closely
related than observations further apart
This is known as propinquity
[proh-ping-kwi-tee]
Time-series: an introduction
Time-series analysis is used when observations (e.g.
counts of crime) are made repeatedly
should be over 50 if you want to account for seasonal trends

Three main aims of this type of analysis
To help reveal or clarify trends
To forecast future patterns of events
To test the impact of interventions (IVs)

Time-series analysis for revealing trends

Time-series analysis for revealing trends
All time-series data have three basic parts:
A trend component;
A seasonal component; and
A random component.

Trends are often masked because of the combination of
these three components
Especially the random noise!
Time-series analysis for revealing trends
Two types of patterns are important:
Linear or non-linear trends - i.e., upwards or downwards or both
(quadratic); and
Seasonal effects which follow the same overall trend but repeat
themselves in systematic intervals over time.


Time-series analysis for revealing trends
Smoothing techniques can be used to filter out the random
noise
Moving average is the simplest form of smoothing technique
Time-series analysis for revealing trends
More advanced smoothing techniques are available in
statistical packages (such as SPSS, Stata, R)

These can estimate three parameters which are used to
generate an equation that best describes the time-series:
The parameter gamma () determines how the trend is modelled
The parameter alpha () determines how much weighting should
be assigned to recent and distant observations
The parameter delta () models the seasonal component

Need to vary the parameters to see which provides the
best fit against your data (e.g. most accurate model)
For this you can use the Sum of Squared Errors (SSE)
Time-series analysis for revealing trends
A sophisticated method for revealing trends is known as
seasonal decomposition
R screenshot
The power of visualisation
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Time-series analysis for forecasting

Time-series analysis for forecasting
Where crime rates follow regular patterns, this can be
useful for predicting future levels of crime

Forecasts are commonly produced so that the workload of
criminal justice agencies can be managed

The accuracy of forecasts is likely to be limited, given the
complexity of influencing factors
Predictions rely on the assumption that evident trends and
seasonal effects will continue (i.e. it is a stable pattern)
Short-term predictions will be more reliable that long-term
predictions
Time-series analysis for forecasting
You could use a moving-average model to forecast future
patterns
Commonly you would ascertain the value of doing this with data
you already have (i.e. can use as a test against the forecast scores)
The value would be derived from comparing the error scores
between the predicted data points and the real data points
If the model is sufficiently accurate you could then use it to make a
forecast. However, if it is not very accurate, it would be unwise to
use the model.

As you know, more sophisticated models exist (e.g. using
gamma () alpha () delta ())

Time-series analysis for evaluating interventions

Time-series analysis for evaluating interventions






Pre-test Treatment applied Post-test
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Evaluation in the real world

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Before-after design?

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Average crime rate
12 months post-test
(Apr07-Mar-08): 20.2
Average crime rate
12 months pre-test
(Jan06-Dec06): 18.3
Why cant we just use a before-after design?
It might be tempting to use a t-test to assess whether there
was any statistical evidence of a change in group means
HOWEVER one of the assumptions of a t-test is that the groups
consist of independent observations with equal variances
This is violated by time-series data due to the temporal dependency
(known as autocorrelation)

For this reason we need to use a method known as
autoregression (AR) which accounts for the autocorrelation
ARIMA modelling
Auto-Regressive, Integrated, Moving-Average (p, d, q)








A simpler version of this is ARMA (sometimes called a
BoxJenkins model)
p d q


Auto-regressive
element represents
the lingering effects
of previous scores
Integrated element
represents the
trends present in
the data
Moving-average element
represents lingering
effects of the preceding
random shocks
ARIMA modelling
First, you have to perform some preliminary analyses
before you fit an ARIMA model to your data

These steps can be summarised as:
1. Identification
2. Estimation
3. Diagnosis

Identification and estimation of a time-series is the process
of finding the integer values of p, d, and q.
These are typically small (0, 1, 2)
When these values are 0, the element is not needed in the model

Identification of a time-series - transformation
The middle element of (p, d, q) is investigated first
The goal is to determine if the data are stationary

Stationary refers to a constant mean and variance
If the mean is changing (i.e. the trend is going up or down), the
trend can be removed by differencing
Identification of a time-series - transformation
Stationary refers to a constant mean and variance
If the variability is changing, the data may be made stationary by
logarithmic transformation (the LOG formula in Excel)
You need to plot it again to ascertain if the variance has stabilised
after transformation

Once you are happy that the mean and variance are as
constant as possible you can assign d a value
If d = 0 the data are stationary and there is no trend;
If d = 1 the data need to be differenced once so the linear trend is
removed;
If d = 2 the data need to be difference twice so that the linear and
quadratic trends are removed.

Identification of a time-series autocorrelation
The values of P and Q (p, d, q) are investigated second

p relates to autoregressive components, q relates to
moving-average components

Usually a model has either an autoregressive component
OR a moving-average component, but very occasionally, a
series has both

How do we tell? We look at autocorrelation patterns



Assessing autocorrelation patterns
You can use a correlogram to assess whether
autocorrelation are present in the time-series data
This is an image of correlation statistics
It is commonly used for checking randomness in a data set

Measuring autocorrelation
If adjacent observations are highly correlated, then so too
will those that are - say - two or three observations apart
We therefore need to consider the lag of the autocorrelation we
are measuring






To control for this we use an autocorrelation function (ACF)
in conjunction with a partial autocorrelation function
(PACF)
ACFs and PACFs
An autocorrelation function
(ACF) shows the serial
correlation coefficients for
consecutive lags



A partial autocorrelation function
(PACF) partials out the
immediate autocorrelations and
estimates the autocorrelation at
a specific lag (e.g. 2 lags)
Estimating a time-series model
Models are estimated through patterns in their ACFs and
PACFs

Auto-regressive
Moving-average
Estimating a time-series model
AR: first order regressive process (p)
Large value for lag 1, with the ACF decaying over greater lags and
the PACF only being significant for lag 1
When p = 0 there is no relationship between adjacent observations
When p = 1 there is a relationship between observations at lag 1
When p = 2 there is a relationship between observations at lag 2

MA: a moving-average process (q)
Large value for lag 1, and the ACF will only be significant for this
lag whilst the PACF decays over greater lags
When q = 0 there are no moving average components
When q = 1 there is a relationship between the current score and the random
shock at lag 1
When q = 2 there is a relationship between the current score and the random
shock at lag 2




Time to run a model or ten
arima count_4_10, arima (1,0,0) nolog
Diagnosing a model
This involves assessing to see how well your model fits
your data
E.g. Are the values of the observations predicted from the model
close to actual ones?
We assess this through examining the residuals (differences
between actual & predicted values)

If the model is good, the residuals
will be a series of random errors

We assess this through ACFs and
PACFs
ARMAX?
Simply an ARIMA model with independent variables (IVs)

Can dummy code an intervention variable
So that 0 = pre-intervention, 1 = post-intervention

Or can use other IVs
E.g. number of police officers, number of ex-prisoners released

Need to identify, estimate and diagnose your model based
on pre-intervention data before adding the IVs
Add in your IV to the model
The model fit The beta
coefficient
The p value
Then diagnose once more
Types of questions you may want to answer
What kind of trend do I have going on?
Do these trends differ by area?

Are there distinct seasonal patterns in my data?
Are they stable enough to be able to predict the next month,
quarter, year?

What has been the impact of an intervention?
Are the before and after trends different?

What relationship does an IV (e.g. no of Police Officers on
the beat) have with my DV (e.g. count of crime)?

The value of using time-series analysis
Determining whether crime patterns vary in specific ways
over time has implications for our understanding of the
problem
Time-series analysis helps to reveal the patterns and to establish
the statistical significance of them

Predictable patterns create opportunities for crime
prevention and detection
Deployment of policing resources
Designing crime prevention initiatives
Where to go for more information

Some further reading
Campbell, D.T. & Stanley, J.C (1963). Experimental and Quasi-
Experimental Designs for Research. Boston: Houghton Mifflin
Company.
Shadish, W.R.; Cook, T.D. & Campbell, D.T. (2002). Experimental and
Quasi-Experimental Designs for Generalized Causal Inference.
Boston: Houghton Mifflin Company.
Tabachnick, B. & Fidel, L (2007). Using multivariate
statistics. 5th ed. Boston: Allyn and Bacon.
Chapter 17

Thank you



Lisa Tompson
Research Associate
UCL Jill Dando Institute of Crime Science
l.tompson@ucl.ac.uk