Forecasting Using Time Series Analysis

DATA ANALYTICS WITH R
Data analysis with R:

TIME SERIES
Phân tích dữ liệu với R 3
CONTENT
1. The introduction of time series
2. Some models of time series analysis
3. Time series analysis with R
1. Time Series
Time series: the structure of a data table with many different columns,
which requires to have a timestamp column and events that change
with that timestamp column.
E.g.:
⁃ Data about customers' purchasing demand by year, quarter, month, ...
⁃ Data on stock prices, trading volume by year, month, quarter, week, day, ...
⁃ ….
Applications of time series

analysis?
1. Time Series
Components
1. Time Series
Components
1. Time Series
+
▷ k th-order autoregressive model

+…+ +
E.g.: +
▷ Finite distributed lag models

+…+ +
E.g.: + +
1. Time Series
Stationarity
Why is it necessary to
check for stationarity in
E(𝑌 ¿¿t)=μ¿
2 time series analysis?
dừng  Var(𝑌 ¿¿t)=𝜎 ¿
Cov (𝑌 ¿ ¿t ,𝑌 t − p )=𝛾 p ∉t ¿
1. Time Series
Correlation
1st order:
2nd order:
1st&2nd order:
1. Time Series
White noise
E (𝜀¿¿t)=0¿
2
nhiễu trắng  Var(𝜀¿¿t )=𝜎 ¿
Cov (𝜀¿ ¿t , 𝜀t − p )=0¿
Similar to white noise +
Why is it important to identify “white noise” in time

series data analysis?

AR ARIMA SARIMA
AR (Auto-Regression) model: modeling the relationship between the data

and its own lag  expressed through the parameter 'p' in the ARIMA
model
I (Integrated): using the difference to eliminate propensity in the data 
expressed through the parameter 'd' in the ARIMA model
MA (Moving Average) : modeling the relationship between the data and the
error relative to the average of the other lags  expressed through the
parameter 'q' in the ARIMA model
 ARIMA(p, d, q)

▷ AR(p) – AutoRegression
AR(1):
AR(2): 𝑌 t =𝛼+ 𝛽1 𝑌 t −1 + 𝛽2 𝑌 t − 2+ 𝜀 𝑡
Find p?
PACF – Partial Auto Correlation Function
Finding ‘p’ via PACF plot
？
𝐸𝑥𝑝 𝐴𝑢𝑔 =𝛼+ 𝛽1 𝐸𝑥𝑝 𝐽𝑢𝑙 + 𝛽 2 𝐸𝑥𝑝 𝐽𝑢𝑛 + 𝐸𝑟𝑟𝑜𝑟

▷ MA(q) – Moving Average
AR(1):
MA(1):
𝑌t 𝑌 t−1 𝑌 t−2
Find q?
ACF – Auto Correlation Function
Finding ‘q’ via ACF plot


▷ ARMA – Auto Regression Moving Average
AR(p) (Auto-Regression): use past values
AR(1):
MA(q) (Moving Average): use past errors
MA(1):
ARMA(p,q) model:
ARMA(1,1):

▷ ARIMA – Auto Regression Integrated Moving Average
AR(p) sử dụng sai phân MA(q)

chuyển đổi chuỗi dừng
(d)
 ARIMA(p, d, q)

Data analysis process
Identify
the Choose an approach
problem (technical)
1 3
2 4
Preliminary Forecast
data analysis

▷ Data analysis with the ARIMA model
• Trực quan (xem xét đặc trưng tổng thể)
1
• Check the stationarity  determine (d)

2
• Check the correlation with the chart ACF/PACF  determine
3 (p, q)
• Build the ARIMA model (p,d,q)

4
• Forecast
5

S
t  Series is non-stationary
a
t
i
o
n
a
r
y
ADF Test (Augmented Dickey-Fuller Test) với giả thuyết không (Ho) (null
hypothesis) là chuỗi không dừng.
KPSS Test (Kwiatkowski-Phillips-Schmidt-Shin Test) với giả thuyết không (Ho)
là chuỗi dừng.
Why is it necessary to consider the stationarity of data??
🏚:To learn more about methods of testing ADF, KPSS, students should read Econometrics
textbook.
3. . Time series analysis with R

S  Series is stationary
t
a
t
i
o
n
a
r
y

S
t
a
t
i
o
n
a
r
y

C Autocorrelation is a PACF – Partial Auto Correlation Function
o
phenomenon in
r
r which values in a
e time series are
 Shows a direct correlation between the lags
l correlated with each of the data.
a other.
t
i
o
ACF – Auto Correlation Function
n
 Shows the overall correlation between the lags

of the data.

C
PACF – Partial Auto Correlation Function
o
r
r ARIMA(p, d, q)
e Finding ‘p’ via PACF plot
l
a
t
i
o ACF – Auto Correlation Function
n
ARIMA(p, d, q)
Finding ‘q’ via ACF plot

Define parameters automatically for the model::
With Python, the
library supports
determining the
optimal set of
parameters (p, d, q)
based on AIC
(Akaike Information
Criterion) criteria 
reducing the risk of
"overfitting" and
"underfitting" of the
model.
Models with lower AIC scores are considered better
A
Q

Forecasting Using Time Series Analysis

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Forecasting Using Time Series Analysis

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DATA ANALYTICS WITH R

Data analysis with R:

Applications of time series

▷ k th-order autoregressive model

▷ Finite distributed lag models

Similar to white noise +

Why is it important to identify “white noise” in time

2. Some models of time series analysis

AR (Auto-Regression) model: modeling the relationship between the data

2. Some models of time series analysis

PACF – Partial Auto Correlation Function

Finding ‘p’ via PACF plot

2. Some models of time series analysis

ACF – Auto Correlation Function

Finding ‘q’ via ACF plot

2. Some models of time series analysis

2. Some models of time series analysis

AR(p) sử dụng sai phân MA(q)

3. Time series analysis with R

3. Time series analysis with R

• Check the stationarity  determine (d)

• Build the ARIMA model (p,d,q)

3. Time series analysis with R

3. . Time series analysis with R

3. Time series analysis with R

3. Time series analysis with R

 Shows the overall correlation between the lags

3. Time series analysis with R

3. Time series analysis with R

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