Clase 1 de Series de tiempo

library(fortunes)
fortune(92)

## 
## If you don't go with R now, you will someday.
##    -- David Kane (on whether to use R or S-PLUS)
##       R-SIG-Finance (November 2004)

Creación y graficación de series de tiempo con `ts` del R básico, clase `ts`

set.seed(123)
st1 <- ts(rpois(15,3),frequency=12,start = c(2016,5)) # mensual
print(st1,calendar=TRUE)

##      Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
## 2016                   2   4   2   5   6   0   3   5
## 2017   3   3   6   3   4   3   1

plot(st1)

str(st1)

##  Time-Series [1:15] from 2016 to 2018: 2 4 2 5 6 0 3 5 3 3 ...

class(st1)

## [1] "ts"

sta <- cbind(st1,rnorm(15)) # agregar una serie
sta

##          st1   rnorm(15)
## May 2016   2  1.28055488
## Jun 2016   4 -1.72727063
## Jul 2016   2  1.69018435
## Aug 2016   5  0.50381245
## Sep 2016   6  2.52833655
## Oct 2016   0  0.54909674
## Nov 2016   3  0.23821292
## Dec 2016   5 -1.04889314
## Jan 2017   3  1.29476325
## Feb 2017   3  0.82553984
## Mar 2017   6 -0.05568601
## Apr 2017   3 -0.78438222
## May 2017   4 -0.73350322
## Jun 2017   3 -0.21586539
## Jul 2017   1 -0.33491276

st2 <- ts(rnorm(20),frequency = 4, start = c(2015,3)) #trimestral
plot(st2,xlab="Fecha",ylab="Serie 2")

des  <- ts(discoveries) #anual
plot(des,ylab="Número de descubrimientos",main="Descubrimientos científicos y grandes inventos 1860 a 1959",xlab="Años")

Para extraer información de la serie

start(des)

## [1] 1 1

end(des)

## [1] 100   1

time(des)

## Time Series:
## Start = 1 
## End = 100 
## Frequency = 1 
##   [1]   1   2   3   4   5   6   7   8   9  10  11  12  13  14  15  16  17
##  [18]  18  19  20  21  22  23  24  25  26  27  28  29  30  31  32  33  34
##  [35]  35  36  37  38  39  40  41  42  43  44  45  46  47  48  49  50  51
##  [52]  52  53  54  55  56  57  58  59  60  61  62  63  64  65  66  67  68
##  [69]  69  70  71  72  73  74  75  76  77  78  79  80  81  82  83  84  85
##  [86]  86  87  88  89  90  91  92  93  94  95  96  97  98  99 100

frequency(des)

## [1] 1

Series de tiempo multivariadas

st3 <- ts(matrix(rnorm(40), 10, 4), start = c(2017, 1), frequency = 12)
class(st3)

## [1] "mts"    "ts"     "matrix"

start(st3)

## [1] 2017    1

end(st3)

## [1] 2017   10

frequency(st3)

## [1] 12

plot(st3,main="Serie Multivariada",xlab="Tiempo",plot.type = "single",col=c("blue","red","green","black"))

plot(st3,main="Serie Multivariada",xlab="Tiempo",plot.type = "multiple",col="blue")

class(st3)

## [1] "mts"    "ts"     "matrix"

st3[,2] # extrae una serie

##             Jan        Feb        Mar        Apr        May        Jun
## 2017  1.2283928  0.2760235 -1.0489755 -0.5208693  1.6232025 -1.0700682
##             Jul        Aug        Sep        Oct
## 2017  1.6858872 -0.2416898 -0.4682005 -0.7729782

library(ggplot2)
library(zoo)

## 
## Attaching package: 'zoo'

## The following objects are masked from 'package:base':
## 
##     as.Date, as.Date.numeric

library(xts)
autoplot(zoo(st3), facets = NULL)

Series de tiempo con el paquete `xts`

library(xts)
library(dygraphs) # para graficarlas
library(magrittr) # para programación con "tubos"

start(AirPassengers)

## [1] 1949    1

end(AirPassengers)

## [1] 1960   12

frequency(AirPassengers)

## [1] 12

head(AirPassengers)

## [1] 112 118 132 129 121 135

str(AirPassengers)

##  Time-Series [1:144] from 1949 to 1961: 112 118 132 129 121 135 148 148 136 119 ...

is.ts(AirPassengers)

## [1] TRUE

xts99 <- as.xts(AirPassengers)
head(coredata(xts99))

##      [,1]
## [1,]  112
## [2,]  118
## [3,]  132
## [4,]  129
## [5,]  121
## [6,]  135

index(xts99)

##   [1] "Jan 1949" "Feb 1949" "Mar 1949" "Apr 1949" "May 1949" "Jun 1949"
##   [7] "Jul 1949" "Aug 1949" "Sep 1949" "Oct 1949" "Nov 1949" "Dec 1949"
##  [13] "Jan 1950" "Feb 1950" "Mar 1950" "Apr 1950" "May 1950" "Jun 1950"
##  [19] "Jul 1950" "Aug 1950" "Sep 1950" "Oct 1950" "Nov 1950" "Dec 1950"
##  [25] "Jan 1951" "Feb 1951" "Mar 1951" "Apr 1951" "May 1951" "Jun 1951"
##  [31] "Jul 1951" "Aug 1951" "Sep 1951" "Oct 1951" "Nov 1951" "Dec 1951"
##  [37] "Jan 1952" "Feb 1952" "Mar 1952" "Apr 1952" "May 1952" "Jun 1952"
##  [43] "Jul 1952" "Aug 1952" "Sep 1952" "Oct 1952" "Nov 1952" "Dec 1952"
##  [49] "Jan 1953" "Feb 1953" "Mar 1953" "Apr 1953" "May 1953" "Jun 1953"
##  [55] "Jul 1953" "Aug 1953" "Sep 1953" "Oct 1953" "Nov 1953" "Dec 1953"
##  [61] "Jan 1954" "Feb 1954" "Mar 1954" "Apr 1954" "May 1954" "Jun 1954"
##  [67] "Jul 1954" "Aug 1954" "Sep 1954" "Oct 1954" "Nov 1954" "Dec 1954"
##  [73] "Jan 1955" "Feb 1955" "Mar 1955" "Apr 1955" "May 1955" "Jun 1955"
##  [79] "Jul 1955" "Aug 1955" "Sep 1955" "Oct 1955" "Nov 1955" "Dec 1955"
##  [85] "Jan 1956" "Feb 1956" "Mar 1956" "Apr 1956" "May 1956" "Jun 1956"
##  [91] "Jul 1956" "Aug 1956" "Sep 1956" "Oct 1956" "Nov 1956" "Dec 1956"
##  [97] "Jan 1957" "Feb 1957" "Mar 1957" "Apr 1957" "May 1957" "Jun 1957"
## [103] "Jul 1957" "Aug 1957" "Sep 1957" "Oct 1957" "Nov 1957" "Dec 1957"
## [109] "Jan 1958" "Feb 1958" "Mar 1958" "Apr 1958" "May 1958" "Jun 1958"
## [115] "Jul 1958" "Aug 1958" "Sep 1958" "Oct 1958" "Nov 1958" "Dec 1958"
## [121] "Jan 1959" "Feb 1959" "Mar 1959" "Apr 1959" "May 1959" "Jun 1959"
## [127] "Jul 1959" "Aug 1959" "Sep 1959" "Oct 1959" "Nov 1959" "Dec 1959"
## [133] "Jan 1960" "Feb 1960" "Mar 1960" "Apr 1960" "May 1960" "Jun 1960"
## [139] "Jul 1960" "Aug 1960" "Sep 1960" "Oct 1960" "Nov 1960" "Dec 1960"

indexClass(xts99)

## [1] "yearmon"

tzone(xts99)

## [1] "UTC"

periodicity(xts99)

## Monthly periodicity from Jan 1949 to Dec 1960

to.yearly(xts99)

##          xts99.Open xts99.High xts99.Low xts99.Close
## Dec 1949        112        148       104         118
## Dec 1950        115        170       114         140
## Dec 1951        145        199       145         166
## Dec 1952        171        242       171         194
## Dec 1953        196        272       180         201
## Dec 1954        204        302       188         229
## Dec 1955        242        364       233         278
## Dec 1956        284        413       271         306
## Dec 1957        315        467       301         336
## Dec 1958        340        505       310         337
## Dec 1959        360        559       342         405
## Dec 1960        417        622       390         432

nmonths(xts99)

## [1] 144

str(xts99)

## An 'xts' object on Jan 1949/Dec 1960 containing:
##   Data: num [1:144, 1] 112 118 132 129 121 135 148 148 136 119 ...
##   Indexed by objects of class: [yearmon] TZ: UTC
##   xts Attributes:  
##  NULL

start(xts99)

## [1] "Jan 1949"

time(xts99)

##   [1] "Jan 1949" "Feb 1949" "Mar 1949" "Apr 1949" "May 1949" "Jun 1949"
##   [7] "Jul 1949" "Aug 1949" "Sep 1949" "Oct 1949" "Nov 1949" "Dec 1949"
##  [13] "Jan 1950" "Feb 1950" "Mar 1950" "Apr 1950" "May 1950" "Jun 1950"
##  [19] "Jul 1950" "Aug 1950" "Sep 1950" "Oct 1950" "Nov 1950" "Dec 1950"
##  [25] "Jan 1951" "Feb 1951" "Mar 1951" "Apr 1951" "May 1951" "Jun 1951"
##  [31] "Jul 1951" "Aug 1951" "Sep 1951" "Oct 1951" "Nov 1951" "Dec 1951"
##  [37] "Jan 1952" "Feb 1952" "Mar 1952" "Apr 1952" "May 1952" "Jun 1952"
##  [43] "Jul 1952" "Aug 1952" "Sep 1952" "Oct 1952" "Nov 1952" "Dec 1952"
##  [49] "Jan 1953" "Feb 1953" "Mar 1953" "Apr 1953" "May 1953" "Jun 1953"
##  [55] "Jul 1953" "Aug 1953" "Sep 1953" "Oct 1953" "Nov 1953" "Dec 1953"
##  [61] "Jan 1954" "Feb 1954" "Mar 1954" "Apr 1954" "May 1954" "Jun 1954"
##  [67] "Jul 1954" "Aug 1954" "Sep 1954" "Oct 1954" "Nov 1954" "Dec 1954"
##  [73] "Jan 1955" "Feb 1955" "Mar 1955" "Apr 1955" "May 1955" "Jun 1955"
##  [79] "Jul 1955" "Aug 1955" "Sep 1955" "Oct 1955" "Nov 1955" "Dec 1955"
##  [85] "Jan 1956" "Feb 1956" "Mar 1956" "Apr 1956" "May 1956" "Jun 1956"
##  [91] "Jul 1956" "Aug 1956" "Sep 1956" "Oct 1956" "Nov 1956" "Dec 1956"
##  [97] "Jan 1957" "Feb 1957" "Mar 1957" "Apr 1957" "May 1957" "Jun 1957"
## [103] "Jul 1957" "Aug 1957" "Sep 1957" "Oct 1957" "Nov 1957" "Dec 1957"
## [109] "Jan 1958" "Feb 1958" "Mar 1958" "Apr 1958" "May 1958" "Jun 1958"
## [115] "Jul 1958" "Aug 1958" "Sep 1958" "Oct 1958" "Nov 1958" "Dec 1958"
## [121] "Jan 1959" "Feb 1959" "Mar 1959" "Apr 1959" "May 1959" "Jun 1959"
## [127] "Jul 1959" "Aug 1959" "Sep 1959" "Oct 1959" "Nov 1959" "Dec 1959"
## [133] "Jan 1960" "Feb 1960" "Mar 1960" "Apr 1960" "May 1960" "Jun 1960"
## [139] "Jul 1960" "Aug 1960" "Sep 1960" "Oct 1960" "Nov 1960" "Dec 1960"

head(xts99)

##          [,1]
## Jan 1949  112
## Feb 1949  118
## Mar 1949  132
## Apr 1949  129
## May 1949  121
## Jun 1949  135

El paquete `dygraphs`grafica series clase `xts`

dygraph(xts99)

dygraph(xts99) %>% dyRangeSelector()

dyRangeSelector(dygraph(xts99)) # lo mismo

hw <- HoltWinters(xts99)
pronostico <- predict(hw, n.ahead = 36, prediction.interval = TRUE)
dygraph(pronostico, main = "Pronostico")

Gráfico de velas con el conjunto de datos `sample_matrix` del paquete `xts`

data(sample_matrix)
head(sample_matrix)

##                Open     High      Low    Close
## 2007-01-02 50.03978 50.11778 49.95041 50.11778
## 2007-01-03 50.23050 50.42188 50.23050 50.39767
## 2007-01-04 50.42096 50.42096 50.26414 50.33236
## 2007-01-05 50.37347 50.37347 50.22103 50.33459
## 2007-01-06 50.24433 50.24433 50.11121 50.18112
## 2007-01-07 50.13211 50.21561 49.99185 49.99185

str(sample_matrix)

##  num [1:180, 1:4] 50 50.2 50.4 50.4 50.2 ...
##  - attr(*, "dimnames")=List of 2
##   ..$ : chr [1:180] "2007-01-02" "2007-01-03" "2007-01-04" "2007-01-05" ...
##   ..$ : chr [1:4] "Open" "High" "Low" "Close"

class(sample_matrix)

## [1] "matrix"

m <- tail(sample_matrix, n = 32)
dygraph(m) %>%
  dyCandlestick()

Agreguemos la media al gráfico

m <- cbind(m, apply(m[, 1:3], 1, mean))
colnames(m)[5] <- "Mean"
dygraph(m) %>%
  dyCandlestick()

Varias series al tiempo

dygraph(m)

Muertes_Pulmon <- cbind(ldeaths, mdeaths, fdeaths)
dygraph(Muertes_Pulmon, main = "Muertes por enfermedad del pulmón (UK)") %>%
  dyOptions(colors = RColorBrewer::brewer.pal(3, "Set2"))

Clase 1 de Series de tiempo

Carlos LESMES

2019-03-19

Creación y graficación de series de tiempo con `ts` del R básico, clase `ts`

Para extraer información de la serie

Series de tiempo multivariadas

Series de tiempo con el paquete `xts`

El paquete `dygraphs`grafica series clase `xts`

Gráfico de velas con el conjunto de datos `sample_matrix` del paquete `xts`

Agreguemos la media al gráfico

Varias series al tiempo

Clase 1 de Series de tiempo

Carlos LESMES

2019-03-19

Creación y graficación de series de tiempo con ts del R básico, clase ts

Para extraer información de la serie

Series de tiempo multivariadas

Series de tiempo con el paquete xts

El paquete dygraphsgrafica series clase xts

Gráfico de velas con el conjunto de datos sample_matrix del paquete xts

Agreguemos la media al gráfico

Varias series al tiempo

Creación y graficación de series de tiempo con `ts` del R básico, clase `ts`

Series de tiempo con el paquete `xts`

El paquete `dygraphs`grafica series clase `xts`

Gráfico de velas con el conjunto de datos `sample_matrix` del paquete `xts`