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  • Essentials of Data Analytics: Timeseries Forecasting

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    Balaji balu
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    Timeseries forecasting was performed on two non-stationary datasets: soyaoil and crudeoil prices. The datasets were converted to timeseries, differenced to make them stationary, and logarithmically transformed. ARIMA models were fitted to the differenced logarithmic data and used to forecast future values. The residuals of the ARIMA models were examined to check that the models addressed non-stationarities in the original datasets. Timeseries forecasting was successfully completed for both datasets.

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    EDA_Lab2_KSK

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    Timeseries forecasting was performed on two non-stationary datasets: soyaoil and crudeoil prices. The datasets were converted to timeseries, differenced to make them stationary, and logarithmically transformed. ARIMA models were fitted to the differenced logarithmic data and used to forecast future values. The residuals of the ARIMA models were examined to check that the models addressed non-stationarities in the original datasets. Timeseries forecasting was successfully completed for both datasets.

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    17 views24 pages

    Essentials of Data Analytics: Timeseries Forecasting

    Uploaded by

    Balaji balu
    Timeseries forecasting was performed on two non-stationary datasets: soyaoil and crudeoil prices. The datasets were converted to timeseries, differenced to make them stationary, and logarithmically transformed. ARIMA models were fitted to the differenced logarithmic data and used to forecast future values. The residuals of the ARIMA models were examined to check that the models addressed non-stationarities in the original datasets. Timeseries forecasting was successfully completed for both datasets.

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    of 24

    ESSENTIALS OF

    DATA ANALYTICS
    Lab : 2

    Date: 27-01-2022

    Name: K SAI KUMAR

    Reg. no: 19BEC1073

    TIMESERIES FORECASTING

    Aim:

    To convert data into timeseries data and then to predict the future values by
    forecasting the timeseries dataset.

    For Soyaoil Dataset:

    Importing dataset:
    Dataset preview:

    Converting into timeseries:


    Dataset plotting:

    It is a non-stationary data, as mean and varience both are not constant.


    Differentiated dataset:
    Logarithmical conversion:
    Differentiated logarithmic plotting:
    ACF and PACF:
    ARIMA:
    Forecasting:

    Forecasting plot:
    ACF and PACF after forecasting:
    FINAL CODE :

    class(Soyaoil)
    Soya=ts(Soyaoil$Dollar,start=1,frequency = 4)
    class(Soya)
    plot(Soya,xlab='years',ylab='Dollors')
    dTs<-diff(Soya)
    plot(dTs)
    lTs<-log10(Soya)
    plot(lTs)
    dlTs<-diff(lTs)
    plot(dlTs)
    par(mfrow=c(1,2))
    acf(dlTs,main='AutoCorrelationFactor')
    pacf(dlTs,main='PartialAutoCorrelationFactor')
    library(forecast)
    library(tseries)
    ar<-auto.arima(dlTs,ic="aic",trace = TRUE)
    attributes(ar)
    par(mfrow=c(1,1))
    myfc<-forecast(ar,level=c(95),h=10*4)
    myfc
    plot(myfc)
    par(mfrow=c(1,2))
    acf(ts(ar$residuals),main='ACF Residual')
    pacf(ts(ar$residuals),main='PACF Residual')

    For Crudeoil Dataset:

    Importing dataset:
    Dataset preview:

    Converting into timeseries:


    Dataset plotting:

    It is a non-stationary data, as mean and varience both are not constant.


    Differentiated dataset:
    Logarithmical conversion:

    Differentiated logarithmic plotting:


    ACF and PACF:
    ARIMA:

    Forecasting:
    Forecasting plot:

    ACF and PACF after forecasting:


    FINAL CODE :
    class(Crudeoil_NS)
    Crude=ts(Crudeoil_NS$POILBREUSDQ,start=1,frequency=4)
    class(Crude)
    plot(Crude,xlab='years',ylab='Poilbreusdq')
    dTs<-diff(Crude)
    plot(dTs)
    lTs<-log10(Crude)
    plot(lTs)
    dlTs<-diff(lTs)
    plot(dlTs)
    par(mfrow=c(1,2))
    acf(dlTs,main='AutoCorrelationFactor')
    pacf(dlTs,main='PartialAutoCorrelationFactor')
    library(forecast)
    library(tseries)
    ar<-auto.arima(dlTs,ic="aic",trace = TRUE)
    attributes(ar)
    par(mfrow=c(1,1))
    myfc<-forecast(ar,level=c(95),h=10*4)
    myfc
    plot(myfc)
    par(mfrow=c(1,2))
    acf(ts(ar$residuals),main='ACF Residual')
    pacf(ts(ar$residuals),main='PACF Residual')

    Inference:

    We successfully performed forcasting for given two non-stationary datasets.

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