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Basic Data Analysis for Time Series with R

ISBN: 978-1-118-42254-0
320 pages
July 2014
Basic Data Analysis for Time Series with R (1118422546) cover image

Description

Written at a readily accessible level, Basic Data Analysis for Time Series with R emphasizes the mathematical importance of collaborative analysis of data used to collect increments of time or space. Balancing a theoretical and practical approach to analyzing data within the context of serial correlation, the book presents a coherent and systematic regression-based approach to model selection.  The book illustrates these principles of model selection and model building through the use of information criteria, cross validation, hypothesis tests, and confidence intervals.

Focusing on frequency- and time-domain and trigonometric regression as the primary themes, the book also includes modern topical coverage on Fourier series and Akaike's Information Criterion (AIC). In addition, Basic Data Analysis for Time Series with R also features:

  • Real-world examples to provide readers with practical hands-on experience
  • Multiple R software subroutines employed with graphical displays
  • Numerous exercise sets intended to support readers understanding of the core concepts
  • Specific chapters devoted to the analysis of the Wolf sunspot number data and the Vostok ice core data sets
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Table of Contents

PREFACE xv

ACKNOWLEDGMENTS xvii

PART I BASIC CORRELATION STRUCTURES

1 RBasics 3

1.1 Getting Started, 3

1.2 Special R Conventions, 5

1.3 Common Structures, 5

1.4 Common Functions, 6

1.5 Time Series Functions, 6

1.6 Importing Data, 7

Exercises, 7

2 Review of Regression and More About R 8

2.1 Goals of this Chapter, 8

2.2 The Simple(ST) Regression Model, 8

2.2.1 Ordinary Least Squares, 8

2.2.2 Properties of OLS Estimates, 9

2.2.3 Matrix Representation of the Problem, 9

2.3 Simulating the Data from a Model and Estimating the Model Parameters in R, 9

2.3.1 Simulating Data, 9

2.3.2 Estimating the Model Parameters in R, 9

2.4 Basic Inference for the Model, 12

2.5 Residuals Analysis—What Can Go Wrong…, 13

2.6 Matrix Manipulation in R, 15

2.6.1 Introduction, 15

2.6.2 OLS the Hard Way, 15

2.6.3 Some Other Matrix Commands, 16

Exercises, 16

3 The Modeling Approach Taken in this Book and Some Examples of Typical Serially Correlated Data 18

3.1 Signal and Noise, 18

3.2 Time Series Data, 19

3.3 Simple Regression in the Framework, 20

3.4 Real Data and Simulated Data, 20

3.5 The Diversity of Time Series Data, 21

3.6 Getting Data Into R, 24

3.6.1 Overview, 24

3.6.2 The Diskette and the scan() and ts() Functions—New York City Temperatures, 25

3.6.3 The Diskette and the read.table() Function—The Semmelweis Data, 25

3.6.4 Cut and Paste Data to a Text Editor, 26

Exercises, 26

4 Some Comments on Assumptions 28

4.1 Introduction, 28

4.2 The Normality Assumption, 29

4.2.1 Right Skew, 30

4.2.2 Left Skew, 30

4.2.3 Heavy Tails, 30

4.3 Equal Variance, 31

4.3.1 Two-Sample t-Test, 31

4.3.2 Regression, 31

4.4 Independence, 31

4.5 Power of Logarithmic Transformations Illustrated, 32

4.6 Summary, 34

Exercises, 34

5 The Autocorrelation Function And AR(1), AR(2) Models 35

5.1 Standard Models—What are the Alternatives to White Noise?, 35

5.2 Autocovariance and Autocorrelation, 36

5.2.1 Stationarity, 36

5.2.2 A Note About Conditions, 36

5.2.3 Properties of Autocovariance, 36

5.2.4 White Noise, 37

5.2.5 Estimation of the Autocovariance and Autocorrelation, 37

5.3 The acf() Function in R, 37

5.3.1 Background, 37

5.3.2 The Basic Code for Estimating the Autocovariance, 38

5.4 The First Alternative to White Noise: Autoregressive Errors—AR(1), AR(2), 40

5.4.1 Definition of the AR(1) and AR(2) Models, 40

5.4.2 Some Preliminary Facts, 40

5.4.3 The AR(1) Model Autocorrelation and Autocovariance, 41

5.4.4 Using Correlation and Scatterplots to Illustrate the AR(1) Model, 41

5.4.5 The AR(2) Model Autocorrelation and Autocovariance, 41

5.4.6 Simulating Data for AR(m) Models, 42

5.4.7 Examples of Stable and Unstable AR(1) Models, 44

5.4.8 Examples of Stable and Unstable AR(2) Models, 46

Exercises, 49

6 The Moving Average Models MA(1) And MA(2) 51

6.1 The Moving Average Model, 51

6.2 The Autocorrelation for MA(1) Models, 51

6.3 A Duality Between MA(l) And AR(m) Models, 52

6.4 The Autocorrelation for MA(2) Models, 52

6.5 Simulated Examples of the MA(1) Model, 52

6.6 Simulated Examples of the MA(2) Model, 54

6.7 AR(m) and MA(l) model acf() Plots, 54

Exercises, 57

PART II ANALYSIS OF PERIODIC DATA AND MODEL SELECTION

7 Review of Transcendental Functions and Complex Numbers 61

7.1 Background, 61

7.2 Complex Arithmetic, 62

7.2.1 The Number i, 62

7.2.2 Complex Conjugates, 62

7.2.3 The Magnitude of a Complex Number, 62

7.3 Some Important Series, 63

7.3.1 The Geometric and Some Transcendental Series, 63

7.3.2 A Rationale for Euler’s Formula, 63

7.4 Useful Facts About Periodic Transcendental Functions, 64

Exercises, 64

8 The Power Spectrum and the Periodogram 65

8.1 Introduction, 65

8.2 A Definition and a Simplified Form for p(f ), 66

8.3 Inverting p(f ) to Recover the Ck Values, 66

8.4 The Power Spectrum for Some Familiar Models, 68

8.4.1 White Noise, 68

8.4.2 The Spectrum for AR(1) Models, 68

8.4.3 The Spectrum for AR(2) Models, 70

8.5 The Periodogram, a Closer Look, 72

8.5.1 Why is the Periodogram Useful?, 72

8.5.2 Some Na¨ýve Code for a Periodogram, 72

8.5.3 An Example—The Sunspot Data, 74

8.6 The Function spec.pgram() in R, 75

Exercises, 77

9 Smoothers, The Bias-Variance Tradeoff, and the Smoothed Periodogram 79

9.1 Why is Smoothing Required?, 79

9.2 Smoothing, Bias, and Variance, 79

9.3 Smoothers Used in R, 80

9.3.1 The R Function lowess(), 81

9.3.2 The R Function smooth.spline(), 82

9.3.3 Kernel Smoothers in spec.pgram(), 83

9.4 Smoothing the Periodogram for a Series With a Known and Unknown Period, 85

9.4.1 Period Known, 85

9.4.2 Period Unknown, 86

9.5 Summary, 87

Exercises, 87

10 A Regression Model for Periodic Data 89

10.1 The Model, 89

10.2 An Example: The NYC Temperature Data, 91

10.2.1 Fitting a Periodic Function, 91

10.2.2 An Outlier, 92

10.2.3 Refitting the Model with the Outlier Corrected, 92

10.3 Complications 1: CO2 Data, 93

10.4 Complications 2: Sunspot Numbers, 94

10.5 Complications 3: Accidental Deaths, 96

10.6 Summary, 96

Exercises, 96

11 Model Selection and Cross-Validation 98

11.1 Background, 98

11.2 Hypothesis Tests in Simple Regression, 99

11.3 A More General Setting for Likelihood Ratio Tests, 101

11.4 A Subtlety Different Situation, 104

11.5 Information Criteria, 106

11.6 Cross-validation (Data Splitting): NYC Temperatures, 108

11.6.1 Explained Variation, R2, 108

11.6.2 Data Splitting, 108

11.6.3 Leave-One-Out Cross-Validation, 110

11.6.4 AIC as Leave-One-Out Cross-Validation, 112

11.7 Summary, 112

Exercises, 113

12 Fitting Fourier series 115

12.1 Introduction: More Complex Periodic Models, 115

12.2 More Complex Periodic Behavior: Accidental Deaths, 116

12.2.1 Fourier Series Structure, 116

12.2.2 R Code for Fitting Large Fourier Series, 116

12.2.3 Model Selection with AIC, 117

12.2.4 Model Selection with Likelihood Ratio Tests, 118

12.2.5 Data Splitting, 119

12.2.6 Accidental Deaths—Some Comment on Periodic Data, 120

12.3 The Boise River Flow data, 121

12.3.1 The Data, 121

12.3.2 Model Selection with AIC, 122

12.3.3 Data Splitting, 123

12.3.4 The Residuals, 123

12.4 Where Do We Go from Here?, 124

Exercises, 124

13 Adjusting for AR(1) Correlation in Complex Models 125

13.1 Introduction, 125

13.2 The Two-Sample t-Test—UNCUT and Patch-Cut Forest, 125

13.2.1 The Sleuth Data and the Question of Interest, 125

13.2.2 A Simple Adjustment for t-Tests When the Residuals Are AR(1), 128

13.2.3 A Simulation Example, 129

13.2.4 Analysis of the Sleuth Data, 131

13.3 The Second Sleuth Case—Global Warming, A Simple Regression, 132

13.3.1 The Data and the Question, 132

13.3.2 Filtering to Produce (Quasi-)Independent Observations, 133

13.3.3 Simulated Example—Regression, 134

13.3.4 Analysis of the Regression Case, 135

13.3.5 The Filtering Approach for the Logging Case, 136

13.3.6 A Few Comments on Filtering, 137

13.4 The Semmelweis Intervention, 138

13.4.1 The Data, 138

13.4.2 Why Serial Correlation?, 139

13.4.3 How This Data Differs from the Patch/Uncut Case, 139

13.4.4 Filtered Analysis, 140

13.4.5 Transformations and Inference, 142

13.5 The NYC Temperatures (Adjusted), 142

13.5.1 The Data and Prediction Intervals, 142

13.5.2 The AR(1) Prediction Model, 144

13.5.3 A Simulation to Evaluate These Formulas, 144

13.5.4 Application to NYC Data, 146

13.6 The Boise River Flow Data: Model Selection With Filtering, 147

13.6.1 The Revised Model Selection Problem, 147

13.6.2 Comments on R2 and R2 pred, 147

13.6.3 Model Selection After Filtering with a Matrix, 148

13.7 Implications of AR(1) Adjustments and the “Skip” Method, 151

13.7.1 Adjustments for AR(1) Autocorrelation, 151

13.7.2 Impact of Serial Correlation on p-Values, 152

13.7.3 The “skip” Method, 152

13.8 Summary, 152

Exercises, 153

PART III COMPLEX TEMPORAL STRUCTURES

14 The Backshift Operator, the Impulse Response Function, and General ARMA Models 159

14.1 The General ARMA Model, 159

14.1.1 The Mathematical Formulation, 159

14.1.2 The arima.sim() Function in R Revisited, 159

14.1.3 Examples of ARMA(m,l) Models, 160

14.2 The Backshift (Shift, Lag) Operator, 161

14.2.1 Definition of B, 161

14.2.2 The Stationary Conditions for a General AR(m) Model, 161

14.2.3 ARMA(m,l) Models and the Backshift Operator, 162

14.2.4 More Examples of ARMA(m,l) Models, 162

14.3 The Impulse Response Operator—Intuition, 164

14.4 Impulse Response Operator, g(B)—Computation, 165

14.4.1 Definition of g(B), 165

14.4.2 Computing the Coefficients, gj., 165

14.4.3 Plotting an Impulse Response Function, 166

14.5 Interpretation and Utility of the Impulse Response Function, 167

Exercises, 167

15 The Yule–Walker Equations and the Partial Autocorrelation Function 169

15.1 Background, 169

15.2 Autocovariance of an ARMA(m,l) Model, 169

15.2.1 A Preliminary Result, 169

15.2.2 The Autocovariance Function for ARMA(m,l) Models, 170

15.3 AR(m) and the Yule–Walker Equations, 170

15.3.1 The Equations, 170

15.3.2 The R Function ar.yw() with an AR(3) Example, 171

15.3.3 Information Criteria-Based Model Selection Using ar.yw(), 173

15.4 The Partial Autocorrelation Plot, 174

15.4.1 A Sequence of Hypothesis Tests, 174

15.4.2 The pacf() Function—Hypothesis Tests Presented in a Plot, 174

15.5 The Spectrum For Arma Processes, 175

15.6 Summary, 177

Exercises, 178

16 Modeling Philosophy and Complete Examples 180

16.1 Modeling Overview, 180

16.1.1 The Algorithm, 180

16.1.2 The Underlying Assumption, 180

16.1.3 An Example Using an AR(m) Filter to Model MA(3), 181

16.1.4 Generalizing the “Skip” Method, 184

16.2 A Complex Periodic Model—Monthly River Flows, Furnas 1931–1978, 185

16.2.1 The Data, 185

16.2.2 A Saturated Model, 186

16.2.3 Building an AR(m) Filtering Matrix, 187

16.2.4 Model Selection, 189

16.2.5 Predictions and Prediction Intervals for an AR(3) Model, 190

16.2.6 Data Splitting, 191

16.2.7 Model Selection Based on a Validation Set, 192

16.3 A Modeling Example—Trend and Periodicity: CO2 Levels at Mauna Lau, 193

16.3.1 The Saturated Model and Filter, 193

16.3.2 Model Selection, 194

16.3.3 How Well Does the Model Fit the Data?, 197

16.4 Modeling Periodicity with a Possible Intervention—Two Examples, 198

16.4.1 The General Structure, 198

16.4.2 Directory Assistance, 199

16.4.3 Ozone Levels in Los Angeles, 202

16.5 Periodic Models: Monthly, Weekly, and Daily Averages, 205

16.6 Summary, 207

Exercises, 207

PART IV SOME DETAILED AND COMPLETE EXAMPLES

17 Wolf’s Sunspot Number Data 213

17.1 Background, 213

17.2 Unknown Period ⇒ Nonlinear Model, 214

17.3 The Function nls() in R, 214

17.4 Determining the Period, 216

17.5 Instability in the Mean, Amplitude, and Period, 217

17.6 Data Splitting for Prediction, 220

17.6.1 The Approach, 220

17.6.2 Step 1—Fitting One Step Ahead, 222

17.6.3 The AR Correction, 222

17.6.4 Putting it All Together, 223

17.6.5 Model Selection, 223

17.6.6 Predictions Two Steps Ahead, 224

17.7 Summary, 226

Exercises, 226

18 An Analysis of Some Prostate and Breast Cancer Data 228

18.1 Background, 228

18.2 The First Data Set, 229

18.3 The Second Data Set, 232

18.3.1 Background and Questions, 232

18.3.2 Outline of the Statistical Analysis, 233

18.3.3 Looking at the Data, 233

18.3.4 Examining the Residuals for AR(m) Structure, 235

18.3.5 Regression Analysis with Filtered Data, 238

Exercises, 243

19 Christopher Tennant/Ben Crosby Watershed Data 245

19.1 Background and Question, 245

19.2 Looking at the Data and Fitting Fourier Series, 246

19.2.1 The Structure of the Data, 246

19.2.2 Fourier Series Fits to the Data, 246

19.2.3 Connecting Patterns in Data to Physical Processes, 246

19.3 Averaging Data, 248

19.4 Results, 250

Exercises, 250

20 Vostok Ice Core Data 251

20.1 Source of the Data, 251

20.2 Background, 252

20.3 Alignment, 253

20.3.1 Need for Alignment, and Possible Issues Resulting from Alignment, 253

20.3.2 Is the Pattern in the Temperature Data Maintained?, 254

20.3.3 Are the Dates Closely Matched?, 254

20.3.4 Are the Times Equally Spaced?, 255

20.4 A Na¨ýve Analysis, 256

20.4.1 A Saturated Model, 256

20.4.2 Model Selection, 258

20.4.3 The Association Between CO2 and Temperature Change, 258

20.5 A Related Simulation, 259

20.5.1 The Model and the Question of Interest, 259

20.5.2 Simulation Code in R, 260

20.5.3 A Model Using all of the Simulated Data, 261

20.5.4 A Model Using a Sample of 283 from the Simulated Data, 262

20.6 An AR(1) Model for Irregular Spacing, 265

20.6.1 Motivation, 265

20.6.2 Method, 266

20.6.3 Results, 266

20.6.4 Sensitivity Analysis, 267

20.6.5 A Final Analysis, Well Not Quite, 268

20.7 Summary, 269

Exercises, 270

Appendix A Using Datamarket 273

A.1 Overview, 273

A.2 Loading a Time Series in Datamarket, 277

A.3 Respecting Datamarket Licensing Agreements, 280

Appendix B AIC is PRESS! 281

B.1 Introduction, 281

B.2 PRESS, 281

B.3 Connection to Akaike’s Result, 282

B.4 Normalization and R2, 282

B.5 An example, 283

B.6 Conclusion and Further Comments, 283

Appendix C A 15-Minute Tutorial on Nonlinear Optimization 284

C.1 Introduction, 284

C.2 Newton’s Method for One-Dimensional Nonlinear Optimization, 284

C.3 A Sequence of Directions, Step Sizes, and a Stopping Rule, 285

C.4 What Could Go Wrong?, 285

C.5 Generalizing the Optimization Problem, 286

C.6 What Could Go Wrong—Revisited, 286

C.7 What Can be Done?, 287

REFERENCES 291

INDEX 293

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Author Information

DeWayne R. Derryberry, PhD, is Associate Professor in the Department of Mathematics and Statistics at Idaho State University. Dr. Derryberry has published more than a dozen journal articles and his research interests include meta-analysis, discriminant analysis with messy data, time series analysis of the relationship between several cancers, and geographically-weighted regression.

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