R Language
시계열 및 예측

비고

시계열 데이터를 이용한 탐색 적 데이터 분석

data(AirPassengers)
class(AirPassengers)

1 "ts"

Exploratory Data Analysis (EDA)의 정신에서 좋은 첫 번째 단계는 시계열 데이터의 플롯을 보는 것입니다.

plot(AirPassengers) # plot the raw data
abline(reg=lm(AirPassengers~time(AirPassengers))) # fit a trend line

추가 EDA를 위해 우리는 수년에 걸친 사이클을 검토합니다 :

cycle(AirPassengers)

     Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1949   1   2   3   4   5   6   7   8   9  10  11  12
1950   1   2   3   4   5   6   7   8   9  10  11  12
1951   1   2   3   4   5   6   7   8   9  10  11  12
1952   1   2   3   4   5   6   7   8   9  10  11  12
1953   1   2   3   4   5   6   7   8   9  10  11  12
1954   1   2   3   4   5   6   7   8   9  10  11  12
1955   1   2   3   4   5   6   7   8   9  10  11  12
1956   1   2   3   4   5   6   7   8   9  10  11  12
1957   1   2   3   4   5   6   7   8   9  10  11  12
1958   1   2   3   4   5   6   7   8   9  10  11  12
1959   1   2   3   4   5   6   7   8   9  10  11  12
1960   1   2   3   4   5   6   7   8   9  10  11  12

boxplot(AirPassengers~cycle(AirPassengers)) #Box plot across months to explore seasonal effects

TS 객체 만들기

시계열 데이터는 ts 객체로 저장할 수 있습니다. ts 객체에는 ARIMA 함수에서 사용되는 계절별 빈도에 대한 정보가 들어 있습니다. 또한 window 명령을 사용하여 날짜순으로 시리즈의 요소를 호출 할 수 있습니다.

#Create a dummy dataset of 100 observations
x <- rnorm(100)

#Convert this vector to a ts object with 100 annual observations
x <- ts(x, start = c(1900), freq = 1)

#Convert this vector to a ts object with 100 monthly observations starting in July
x <- ts(x, start = c(1900, 7), freq = 12)

    #Alternatively, the starting observation can be a number:
    x <- ts(x, start = 1900.5, freq = 12)

#Convert this vector to a ts object with 100 daily observations and weekly frequency starting in the first week of 1900
x <- ts(x, start = c(1900, 1), freq = 7)

#The default plot for a ts object is a line plot    
plot(x)

#The window function can call elements or sets of elements by date
    
    #Call the first 4 weeks of 1900
    window(x, start = c(1900, 1), end = (1900, 4))

    #Call only the 10th week in 1900
    window(x, start = c(1900, 10), end = (1900, 10))

    #Call all weeks including and after the 10th week of 1900
    window(x, start = c(1900, 10)) 

여러 시리즈로 ts 객체를 만들 수 있습니다.

#Create a dummy matrix of 3 series with 100 observations each
x <- cbind(rnorm(100), rnorm(100), rnorm(100))

#Create a multi-series ts with annual observation starting in 1900
x <- ts(x, start = 1900, freq = 1)

#R will draw a plot for each series in the object
plot(x)