Time series

Practicing Statistics Interview Questions in R

Zuzanna Chmielewska

Actuary

Time series

Application of time series:

• finance
• agriculture
• energy
• etc.

Time series

Time series

Time series

Time series analysis:

• trends
• seasonal variation
• serial correlation
• prediction model (e.g. ARIMA)

Time series - object

ts <- xts(x = values, order.by = dates)

plot(ts)

Analysis - subsetting

dates <- seq(from = as.Date("2010-01-01"),  
             to = as.Date("2010-12-31"))

Analysis - subsetting

dates <- seq(from = as.Date("2010-01-01"),  
             to = as.Date("2010-12-31"), 
             by = "1 month")

Analysis - subsetting

dates <- seq(from = as.Date("2010-01-01"),  
             to = as.Date("2010-12-31"), 
             by = "1 month")
ts[dates]

Analysis - merging

Analysis - merging

Analysis - merging

Analysis - merging

Analysis - applying a function by calendar period

Analysis - applying a function by calendar period

Analysis - applying a function by calendar period

Summary

• definition of time series
• xts object in R
• wrangling time series:
  • subsetting
  • merging
  • functions over calendar periods

Let's practice!

Practicing Statistics Interview Questions in R