A Complete Introduction To Time Series Analysis (with R)::... https://medium.com/analytics-vidhya/a-complete-introduction...

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library(tidyverse)
library(tidyquant)
library(gridExtra)
library(tibbletime)
library(forecast)
library(itsmr)
library(here)
library(fpp2)
library(tseries)
knitr::opts_chunk$set(comment=NA,tidy=FALSE)

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autoplot(elecequip)

sarima2.r hosted with by GitHub view raw

stl

elecequip_decomp = stl(elecequip,s.window=12) # estimate the seasonal component

elecequip_adjseason = elecequip - seasonal(elecequip_decomp) # deseason the data
autoplot(elecequip_adjseason) # plot

sarima2.r hosted with by GitHub view raw

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ggAcf(elecequip_adjseason) # ACF
ggPacf(elecequip_adjseason) # PACF

sarima3.r hosted with by GitHub view raw

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adf.test(elecequip_adjseason)
kpss.test(elecequip_adjseason)
#####################################################################
OUT:

Augmented Dickey-Fuller Test

data: elecequip_adjseason
Dickey-Fuller = -2.4971, Lag order = 5, p-value = 0.368
alternative hypothesis: stationary

KPSS Test for Level Stationarity

data: elecequip_adjseason

elecequip_adjseason_diff = diff(elecequip_adjseason,1) # difference once

autoplot(elecequip_adjseason_diff) # plot

sarima5.r hosted with by GitHub view raw

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ggAcf(elecequip_adjseason_diff)
ggPacf(elecequip_adjseason_diff)

sarima6.r hosted with by GitHub view raw

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adf.test(elecequip_adjseason_diff)
adf.test(elecequip_adjseason_diff,k=3)
kpss.test(elecequip_adjseason_diff)
###############################################################
OUT:

p-value smaller than printed p-value

Augmented Dickey-Fuller Test

data: elecequip_adjseason_diff
Dickey-Fuller = -4.0924, Lag order = 5, p-value = 0.01
alternative hypothesis: stationary

p-value smaller than printed p-value

Augmented Dickey-Fuller Test

data: elecequip_adjseason_diff
Dickey-Fuller = -5.4491, Lag order = 3, p-value = 0.01
alternative hypothesis: stationary

p-value greater than printed p-value

KPSS Test for Level Stationarity

auto.sarima

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# Fit an ARIMA model using

elecequip_arima = auto.arima(elecequip_adjseason,
stepwise=FALSE,
approximation=FALSE,
seasonal=FALSE,
allowdrift=FALSE
)
summary(elecequip_arima)
##################################################################
OUT:

Series: elecequip_adjseason
ARIMA(3,1,1)

Coefficients:
ar1 ar2 ar3 ma1
0.0313 0.1025 0.3674 -0.3875
s.e. 0.2041 0.0884 0.0670 0.2235

sigma^2 estimated as 8.439: log likelihood=-480.41

AIC=970.82 AICc=971.14 BIC=987.16

autoplot(residuals(elecequip_arima)) # plot the residuals

plot(elecequip_arima) # inspect the roots
ggAcf(residuals(elecequip_arima),lag.max=36) # inspect the ACF
ggPacf(residuals(elecequip_arima),lag.max=36) # inspect the PACF

sarima9.r hosted with by GitHub view raw

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adf.test(residuals(elecequip_arima))
kpss.test(residuals(elecequip_arima))
#################################################################
OUT:

p-value smaller than printed p-value

Augmented Dickey-Fuller Test

data: residuals(elecequip_arima)
Dickey-Fuller = -5.0567, Lag order = 5, p-value = 0.01
alternative hypothesis: stationary

p-value greater than printed p-value

KPSS Test for Level Stationarity

checkresiduals(elecequip_arima)
####################################################################
OUT:

Ljung-Box test

data: Residuals from ARIMA(3,1,1)

Q* = 30.171, df = 20, p-value = 0.06713

Model df: 4. Total lags used: 24

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seasonal

auto.arima TRUE

approximation TRUE

parallel=True

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elecequip_sarima = auto.arima(elecequip,
stepwise=FALSE,
approximation=FALSE,
seasonal=TRUE, # This will extent to SARIMA
allowdrift=FALSE,
# parallel = TRUE, # speeds up computation, but tracing not a
trace=TRUE)
summary(elecequip_sarima)
############################################################################################
OUT:

ARIMA(0,0,0)(0,1,0)[12] : 1398.971
ARIMA(0,0,0)(0,1,1)[12] : 1398.3
ARIMA(0,0,0)(0,1,2)[12] : 1373.953
ARIMA(0,0,0)(1,1,0)[12] : 1399.965
ARIMA(0,0,0)(1,1,1)[12] : Inf
ARIMA(0,0,0)(1,1,2)[12] : Inf
ARIMA(0,0,0)(2,1,0)[12] : 1384.654
ARIMA(0,0,0)(2,1,1)[12] : Inf
ARIMA(0,0,0)(2,1,2)[12] : Inf
ARIMA(0,0,1)(0,1,0)[12] : 1251.574
ARIMA(0,0,1)(0,1,1)[12] : 1242.284
ARIMA(0,0,1)(0,1,2)[12] : Inf
ARIMA(0,0,1)(1,1,0)[12] : 1249.068
ARIMA(0,0,1)(1,1,1)[12] : Inf
ARIMA(0,0,1)(1,1,2)[12] : Inf
ARIMA(0,0,1)(2,1,0)[12] : 1237.455
ARIMA(0,0,1)(2,1,1)[12] : Inf
ARIMA(0,0,1)(2,1,2)[12] : Inf
ARIMA(0,0,2)(0,1,0)[12] : 1199.664
ARIMA(0,0,2)(0,1,1)[12] : 1186.702
ARIMA(0,0,2)(0,1,2)[12] : Inf
ARIMA(0,0,2)(1,1,0)[12] : 1195.824
ARIMA(0,0,2)(1,1,1)[12] : Inf
ARIMA(0,0,2)(1,1,2)[12] : Inf
ARIMA(0,0,2)(2,1,0)[12] : 1182.585
ARIMA(0,0,2)(2,1,1)[12] : Inf
ARIMA(0,0,3)(0,1,0)[12] : 1132.348
ARIMA(0,0,3)(0,1,1)[12] : 1113.232
ARIMA(0,0,3)(0,1,2)[12] : Inf
ARIMA(0,0,3)(1,1,0)[12] : 1126.601
ARIMA(0,0,3)(1,1,1)[12] : Inf

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ARIMA(0,0,4)(1,1,0)[12] : 1105.068
ARIMA(0,0,5)(0,1,0)[12] : 1085.54
ARIMA(1,0,0)(0,1,0)[12] : 1070.102
ARIMA(1,0,0)(0,1,1)[12] : 1020.092
ARIMA(1,0,0)(0,1,2)[12] : Inf
ARIMA(1,0,0)(1,1,0)[12] : 1046.619
ARIMA(1,0,0)(1,1,1)[12] : Inf
ARIMA(1,0,0)(1,1,2)[12] : Inf
ARIMA(1,0,0)(2,1,0)[12] : 1033.071
ARIMA(1,0,0)(2,1,1)[12] : Inf
ARIMA(1,0,0)(2,1,2)[12] : Inf
ARIMA(1,0,1)(0,1,0)[12] : 1063.915
ARIMA(1,0,1)(0,1,1)[12] : 1005.31
ARIMA(1,0,1)(0,1,2)[12] : Inf
ARIMA(1,0,1)(1,1,0)[12] : 1037.745
ARIMA(1,0,1)(1,1,1)[12] : Inf
ARIMA(1,0,1)(1,1,2)[12] : Inf
ARIMA(1,0,1)(2,1,0)[12] : 1021.917
ARIMA(1,0,1)(2,1,1)[12] : Inf
ARIMA(1,0,2)(0,1,0)[12] : 1059.197
ARIMA(1,0,2)(0,1,1)[12] : 998.7203
ARIMA(1,0,2)(0,1,2)[12] : Inf
ARIMA(1,0,2)(1,1,0)[12] : 1030.779
ARIMA(1,0,2)(1,1,1)[12] : Inf
ARIMA(1,0,2)(2,1,0)[12] : 1016.242
ARIMA(1,0,3)(0,1,0)[12] : 1052.495
ARIMA(1,0,3)(0,1,1)[12] : 990.9978
ARIMA(1,0,3)(1,1,0)[12] : 1022.184
ARIMA(1,0,4)(0,1,0)[12] : 1054.615
ARIMA(2,0,0)(0,1,0)[12] : 1062.174
ARIMA(2,0,0)(0,1,1)[12] : 1004.646
ARIMA(2,0,0)(0,1,2)[12] : Inf
ARIMA(2,0,0)(1,1,0)[12] : 1035.879
ARIMA(2,0,0)(1,1,1)[12] : Inf
ARIMA(2,0,0)(1,1,2)[12] : Inf
ARIMA(2,0,0)(2,1,0)[12] : 1020.245
ARIMA(2,0,0)(2,1,1)[12] : Inf
ARIMA(2,0,1)(0,1,0)[12] : 1064.261
ARIMA(2,0,1)(0,1,1)[12] : 1005.587
ARIMA(2,0,1)(0,1,2)[12] : Inf

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ARIMA(3,0,0)(0,1,0)[12] : 1064.252
ARIMA(3,0,0)(0,1,1)[12] : 1002.743
ARIMA(3,0,0)(0,1,2)[12] : Inf
ARIMA(3,0,0)(1,1,0)[12] : 1037.743
ARIMA(3,0,0)(1,1,1)[12] : Inf
ARIMA(3,0,0)(2,1,0)[12] : 1021.545
ARIMA(3,0,1)(0,1,0)[12] : 1058.647
ARIMA(3,0,1)(0,1,1)[12] : 997.4304
ARIMA(3,0,1)(1,1,0)[12] : 1035.26
ARIMA(3,0,2)(0,1,0)[12] : Inf
ARIMA(4,0,0)(0,1,0)[12] : 1050.608
ARIMA(4,0,0)(0,1,1)[12] : 983.3669
105 ARIMA(4,0,0)(1,1,0)[12] : 1018.572

autoplot(residuals(elecequip_sarima))
ggAcf(residuals(elecequip_sarima),lag=36)
ggPacf(residuals(elecequip_sarima),lag=36)

sarima13.r hosted with by GitHub view raw

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# correctly specify the series

elecequip_ts <- ts(elecequip, frequency=12, start=c(1996, 1), end = c(2012,3))

# split the data into train and test

elecequip_train <- window(elecequip_ts, end=c(2010,12))
elecequip_test <- window(elecequip_ts, start=c(2011,1))

# train sarima model

elecequip_sarima2 = auto.arima(elecequip_train,
stepwise=FALSE,
approximation=FALSE,
seasonal=TRUE, # This will extent to SARIMA
allowdrift=FALSE,
parallel = TRUE, # speeds up computation, but tracing not avai
trace=FALSE)

## produce forecasts
myforecasts <- forecast::forecast(elecequip_sarima2, h=40)

## plot the forecasts

autoplot(myforecasts) + autolayer(elecequip_ts) + xlim(2005,2013)

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