series de tiempo con r€¦ · series de tiempo con r (complemento de clase) desarrollo de ejemplos...

UNAM-Facultad de Economía, Prof. Juan Francisco Islas 2013-2

1

Series de Tiempo con R

(complemento de clase)

Desarrollo de ejemplos y ejercicios del texto de Cowpertwait, Paul S.P. y Andrew V. Metcalfe (2009) Introductory Time Series with R, Springer (C&M) R es un software libre del proyecto CRAN, se puede obtener e instalar desde http://cran.r-project.org/ Materiales introductorios sobre el manejo de R se encuentran en http://cran.r-project.org/other-docs.html

Gráficas, tendencias y variación estacional (Sección 1.4 C&M)

Registro de pasajeros en aerolínea (Sección 1.4.1 C&M) data(AirPassengers)

AP <- AirPassengers

AP

class(AP)

start(AP); end(AP); frequency(AP)

summary(AP)

plot(AP, ylab = "Passengers (1000's)")

layout(1:2)

plot(aggregate(AP))

boxplot(AP ~ cycle(AP))

http://cran.r-project.org/

http://cran.r-project.org/other-docs.html


2


3

Desempleo (Sección 1.4.2 C&M) www <- "http://www.massey.ac.nz/~pscowper/ts/Maine.dat"

Maine.month <- read.table(www, header = TRUE)

attach(Maine.month)

class(Maine.month)

Maine.month.ts <- ts(unemploy, start = c(1996, 1), freq = 12)

Maine.annual.ts <- aggregate(Maine.month.ts)/12

layout(1:2)

plot(Maine.month.ts, ylab = "unemployed (%)")

plot(Maine.annual.ts, ylab = "unemployed (%)")

Maine.Feb <- window(Maine.month.ts, start = c(1996,2), freq = TRUE)

Maine.Aug <- window(Maine.month.ts, start = c(1996,8), freq = TRUE)

Feb.ratio <- mean(Maine.Feb) / mean(Maine.month.ts)

Aug.ratio <- mean(Maine.Aug) / mean(Maine.month.ts)

Feb.ratio

Aug.ratio

www <- "http://www.massey.ac.nz/~pscowper/ts/USunemp.dat"


4

US.month <- read.table(www, header = T)

attach(US.month)

US.month.ts <- ts(USun, start=c(1996,1), end=c(2006,10), freq = 12)

plot(US.month.ts, ylab = "unemployed (%)")

Series de tiempo múltiples: electricidad, cerveza y chocolate (Sección 1.4.3 C&M)

www <- "http://www.massey.ac.nz/~pscowper/ts/cbe.dat"

CBE <- read.table(www, header = T)

CBE[1:4, ]

Elec.ts <- ts(CBE[, 3], start = 1958, freq = 12)

Beer.ts <- ts(CBE[, 2], start = 1958, freq = 12)

Choc.ts <- ts(CBE[, 1], start = 1958, freq = 12)

plot(cbind(Elec.ts, Beer.ts, Choc.ts))

data(AirPassengers)

AP <- AirPassengers

AP

AP.elec <- ts.intersect(AP, Elec.ts)

start(AP.elec)

end(AP.elec)

AP.elec[1:3, ]

AP <- AP.elec[,1]; Elec <- AP.elec[,2]

layout(1:2)

plot(AP, main = "", ylab = "Air passengers / 1000's")

plot(Elec, main = "", ylab = "Electricity production / MkWh") plot(as.vector(AP), as.vector(Elec), xlab = "Air passengers / 1000's", ylab = "Electricity production / MWh")

abline(reg = lm(Elec ~ AP))

cor(AP, Elec)


5


6


7


8

Tipo de cambio trimestral (Sección 1.4.4 C&M) www <- "http://www.massey.ac.nz/~pscowper/ts/pounds_nz.dat"

Z <- read.table(www, header = T)

Z[1:4, ]

Z.ts <- ts(Z, st = 1991, fr = 4)

plot(Z.ts, xlab = "time / years", ylab = "Quarterly exchange rate in $NZ / pound")

Z.92.96 <- window(Z.ts, start = c(1992, 1), end = c(1996, 1))

Z.96.98 <- window(Z.ts, start = c(1996, 1), end = c(1998, 1))

layout (1:2)

plot(Z.92.96, ylab = "Exchange rate in $NZ/pound", xlab = "Time (years)" )

plot(Z.96.98, ylab = "Exchange rate in $NZ/pound", xlab = "Time (years)" )


9


10

Temperatura global (Sección 1.4.5 C&M)

www <- "http://www.massey.ac.nz/~pscowper/ts/global.dat"

Global <- scan(www)

Global.ts <- ts(Global, st = c(1856, 1), end = c(2005, 12), fr = 12)

Global.annual <- aggregate(Global.ts, FUN = mean)

plot(Global.ts)

plot(Global.annual)

New.series <- window(Global.ts, start=c(1970, 1), end=c(2005, 12))

New.time <- time(New.series)

plot(New.series); abline(reg=lm(New.series ~ New.time))


11


12

Descomposición de Series de Tiempo (Sección 1.5 C&M)

Producción de Electricidad (Sección 1.5.1 C&M y Makridakis et.al.) www <- "http://www.massey.ac.nz/~pscowper/ts/cbe.dat"

CBE <- read.table(www, header = T)

Elec.ts <- ts(CBE[, 3], start = 1958, freq = 12)

plot(decompose(Elec.ts))

Elec.decom <- decompose(Elec.ts, type = "mult")

plot(Elec.decom)

Trend <- Elec.decom$trend

Seasonal <- Elec.decom$seasonal

ts.plot(cbind(Trend, Trend * Seasonal), lty = 1:2)


13


14


15

Superposición de efecto estacional sobre la tendencia

Tarea

Resolver los ejercicios 1, 2, 3 y 4 de la Sección 1.7 del texto de Cowpertwait, Paul S.P. y Andrew V. Metcalfe (2009) Introductory Time Series with R, Springer (C&M)

series de tiempo con r€¦ · series de tiempo con r (complemento de clase) desarrollo de ejemplos...

Documents