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Time Series Analysis

The document provides an overview of time series analysis using R. It discusses key concepts such as decomposing a time series into trend, seasonal and random components. Various time series models - such as AR, MA, ARMA and SARIMA - are presented along with examples of how to fit these models in R. Forecasting future values and evaluating fitted models using autocorrelation plots and other diagnostics are also covered. The document concludes with suggestions for applying the techniques to an aviation time series dataset.

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Lars Larson
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344 views

Time Series Analysis

The document provides an overview of time series analysis using R. It discusses key concepts such as decomposing a time series into trend, seasonal and random components. Various time series models - such as AR, MA, ARMA and SARIMA - are presented along with examples of how to fit these models in R. Forecasting future values and evaluating fitted models using autocorrelation plots and other diagnostics are also covered. The document concludes with suggestions for applying the techniques to an aviation time series dataset.

Uploaded by

Lars Larson
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 49

Time Series Analysis of Aviation Data

Dr. Richard Xie


February, 2012

What is a Time Series


A time series is a sequence of observations in chorological order, such as
Daily closing price of stock MSFT in the past ten years Weekly unemployment claims in the past 2 years Monthly airline revenue passenger miles in the past ten years

Time series analysis is useful when


No other data available System too complicated to model in detail

Where to Get the Data?

What Information Are You Interested In?


How the data changes from month to month, year to year?
Any trend? How fluctuated the curve is? Any seasonal effects? Any unusual years/months which have significantly small or large number?

Can we forecast future value based on the time series?

Lets Work on the Data


But first, what tool will you use?
Pencil and quadrille pad (or back of an envelope) Excel Matlab, Mathematica, Maple SAS, SPSS, STATA, R ROOT, PAW, KNIME, Data Applied, etc. Others

Use R!
R is free R is a language, not just a statistical tool R makes graphics and visualization of the best quality A flexible statistical analysis toolkit Access to powerful, cutting-edge analytics A robust, vibrant community Unlimited possibilities

Where to Download R
To download R
Go to http://www.r-project.org/ Choose a CRAN Mirror, such as http://cran.cnr.berkeley.edu/ Click the link to download R according to your operating system (Linux, MacOS X, or Windows)

Or Enhanced Version of R Distributed by 3rd Party


Revolution R Community (http://www.revolutionanalytics.com/products/revolution-r.php) Free academic version of Revolution R Enterprise (http://www.revolutionanalytics.com/products/revolutionenterprise.php)

CRAN: Comprehensive R Archive Network

R References
An Introduction to R, W.N.Venables, D.M.Smith and R Development Core Team More Documents/Tutorials, go to
http://cran.cnr.berkeley.edu/other-docs.html

Start an R Project
Recommend using RStudio as the console (http://rstudio.org/download/) Create a project folder for storing R scripts, data, etc.
e.g. C:/Users/xie/Documents/SYST460/R projects/airline_timeseries

Open RStudio, navigate to the project folder


1. Use getwd() to find out the current working directory 2. Click and select the project folder 3. Click here 4. Current working directory is changed

Work on Data, Finally!


Use Ctr+Shft+N to create a new script > rm(list=ls(all=TRUE)) to clear the existing variables in workspace, if any > rpm = read.csv("System Passenger Revenue Passenger Miles (Jan 1996 - Oct 2011).csv") Use Ctr+Enter to run the current line or selection

What the Data Looks Like?


> ls(rpm) > plot(rpm), equivalent to > plot(rpm$Total~rpm$YYYYMM)

Plot It As A Time Series


> rpm.ts = ts(as.numeric(rpm$Total), start = c(1996,01),freq=12) > plot(rpm.ts,ylab='Revenue Passenger Miles')
Commands to check properties of rmp.ts

Trends and Seasonal Variation


> layout(1:2) > plot(aggregate(rpm.ts)) > boxplot(rpm.ts~cycle(rpm.ts))
Overall trend of increasing over years

Max value Upper Quartile Median


Lower Quartile

Min value

Window Function
Extract a part of the time series between specied start and end points > rpm.Feb <- window(rpm.ts, start = c(1996,02), freq = TRUE) > rpm.Aug <- window(rpm.ts, start = c(1996,08), freq = TRUE) > mean(rpm.Feb)/mean(rpm.Aug)

Modeling Time Series - Notations

Modeling Time Series Decomposition Models

Time Series Decomposition in R


> rpm.decom=decompose(rpm.ts) > plot(rpm.decom)

Auto-Correlation

AutoCorrelation and Correlogram


> rpm.acf=acf(as.numeric(rpm.ts),lag.max=40)

Correlogram after Decomposition


>acf(as.numeric(rpm.decom$random),na.acti on=na.omit,lag.max=40)

Regression
Trends: stochastic trends, deterministic trends Deterministic trends and seasonal variation can be modeled using regression Deterministic trends are often used for prediction Time series regression differs from standard regression as time series tends to be serially correlated

Linear Models

Fit A Linear Regression Model


> fit = lm(rpm.ts ~ time(rpm.ts)) > plot(rpm.ts, type="o", ylab="RPM") > abline(fit)

Diagnostic Plots
> hist(resid(fit))

> acf(resid(fit)) > AIC(fit)

Linear Model with Seasonal Variables

Linear Model with Seasonal Variables - R


> Seas = cycle(rpm.ts)
Gives the positions in the cycle of each obsv.

> Time = time(rpm.ts)


Creates the vector of times at which rpm.ts was sampled

> rpm.lm = lm(rpm.ts~0+Time+factor(Seas))


Fit rpm.ts to the linear model with seasonal variables

Take a Look at rpm.lm


> summary(rpm.lm)
Model Residuals from fitting

Coefficients

Correlogram of rpm.lm Residual


> acf(resid(rpm.lm),lag.max=40)

It indicates strong positive-autocorrelation

Residuals are not pure random numbers, so it should be further modeled

How Random is Random? - White Noise


A time series {wt: t = 1, 2, . . . , n} is discrete white noise (DWN) if the variables w1,w2, . . . ,wn are independent and identically distributed with a mean of zero. This implies that the variables all have the same variance 2 and Cor(wi,wj) = 0 for all i j. If, in addition, the variables also follow a normal distribution (i.e., wt N(0, 2)) the series is called Gaussian white noise.

Simulate White Noise in R


> set.seed(1) > w = rnorm(100) > plot(w, type = "l") > acf(w)

Random Walk
Let {xt} be a time series. Then {xt} is a random walk if xt = xt1 + wt where {wt} is a white noise series. Substituting xt1 = xt2+wt1 and then substituting for xt2, followed by xt3 and so on gives: xt = wt + wt1 + wt2 + . . . In practice, the series will start at some time t = 1. Hence, xt = w1 + w2 + . . . + wt

Simulate A Random Walk in R


> x <- w <- rnorm(1000) > for (t in 2:1000) x[t] <- x[t - 1] + w[t] > plot(x, type = "l") > acf(x)
Your plot will be different for sure!

Stationarity

Auto-Regressive (AR) Models


The series {xt} is an autoregressive process of order p, abbreviated to AR(p), if xt = 1xt1 + 2xt2 + . . . + pxtp + wt where {wt} is white noise and the i are the model parameters with p 0 for an order p process. The model is a regression of xt on past terms from the same series; hence the use of the term autoregressive.

Fit an AR Model
> res.ar=ar(resid(rpm.lm),method="ols") > res.ar

xt = 0.7153xt1 + 0.1010xt2 +0.0579xt3+ wt

> acf(res.ar$res[-(1:3)])

OLS: Ordinary Least Square

Moving Average Model

Simulate an MA Process
> set.seed(1) > b <- c(0.8, 0.6, 0.4) > x <- w <- rnorm(1000) > for (t in 4:1000) { for (j in 1:3) x[t] <- x[t] + b[j] * w[t - j] } > plot(x, type = "l") > acf(x)

Plot Results

First 3 lags with significant correlation

Simulated MA Process

Correlogram of the Simulated MA Process

ARMA Model

Fit An ARMA Model


> rpm.arma=arima(rpm.ts,order=c(1,0,1)) > acf(as.numeric(rpm.arma$resid))

Strong seasonal information left in residuals

ARIMA and SARIMA Model


A time series {xt} follows an ARIMA(p, d, q) process if the dth dierences of the {xt} series are an ARMA(p, q) process SARIMA is Seasonal ARIMA model which extends ARIMA model with seasonal terms

Fit A SARIMA Model


> rpm.arima=arima(rpm.ts,order=c(1,1,1), seas=list(order=c(1,0,0),12))
First c(1,1,1): AR(1), first-order difference, MA(1) Second c(1,0,0): seasonal terms on AR process, frequency 12

> acf(as.numeric(rpm.arima$resid))

Forecast
Predicting future values of a time series, xn+m, using the set of present and past values of the time series, x={xn, xn-1, , x1} The minimum mean square error predictor of n xn+m is xn m E ( xn m x) predict(model, newdata) method
model: a model object used for prediction newdata: value of explanatory variables

Forecast in R
> new.t <- seq(2011.750, len = 2 * 12, by = 1/12) > new.dat <- data.frame(Time = new.t, Seas = rep(1:12, 2)) > rpm.pred=ts(predict(rpm.lm, new.dat)[1:24],start=c(2011,11),freq=12) > ts.plot(rpm.ts,rpm.pred,lty=1:2)

Plot of Forecast

Forecast with SARIMA Model


> ts.plot( cbind( window(rpm.ts,start = c(1996,1)), predict(rpm.arima,48)$pred ), lty = 1:2)

Homework
Download and Install R with Rstudio Read An Introduction to R Download System Passenger - Revenue Aircraft Miles Flown (000) (Jan 1996 - Oct 2011) data from BTS Read the data into R using Rstudio Create a time series plot of the data, and plot its auto-correlation correlogram Decompose the time series and save the plot

Homework (Ctd.)
Construct a linear regression model without seasonal factors, and plot the correlogram of the models residual data Construct a linear regression model with seasonal factors, and identifies the characteristics of the model residual. Fit an AR model to the model residual of the above model Forecast the time series data into next 24 months using the seasonal model

Exam Questions
What are the data elements in a time series? What does auto-correlation mean? What are white noise and random walk? What are stationary models and non-stationary models?

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