reilly media] r cookbook time series analysis

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1、CHAPTER14TimeSeriesAnalysisIntroductionTimeseriesanalysishasbecomeahottopicwiththeriseofquantitativefinanceandautomatedtradingofsecurities.Manyofthefacilitiesdescribedinthischapterwereinventedbypractitionersandresearchersinfinance,securitiestrading,andportfoliomanagement.Beforest

2、artinganytimeseriesanalysisinR,akeydecisionisyourchoiceofdatarep-resentation(objectclass).Thisisespeciallycriticalinanobject-orientedlanguagesuchasRbecausethechoiceaffectsmorethanhowthedataisstored;italsodictateswhichfunctions(methods)willbeavailableforloading,processing,analyzin

3、g,printing,andplottingyourdata.WhenIfirststartedusingR,forexample,Isimplystoredmytimeseriesdatainvectors.Thatseemednatural.However,Iquicklydiscoveredthatnoneofthecoolestanalyticsfortimeseriesanalysisworkedwithsimplevectors.Iswitchedtousinganobjectclassintendedfortimeseriesanalysi

4、s,andthiswasthegatewaytoimportantfunctionsandanalytics.Thischapter’sfirstreciperecommendsusingthezooorxtspackagesforrepresentingtimeseriesdata.Theyarequitegeneralandshouldmeettheneedsofmostusers.Nearlyeverysubsequentrecipeassumesyouareusingoneofthosetworepresentations.Thextsimple

5、mentationisasupersetofzoo,soxtscandoeverythingthatzoocando.Inthischapter,wheneverarecipeworksforazooobject,youcansafelyassume(unlessstatedotherwise)thatitalsoworksforanxtsobject.ThebasedistributionofRincludesatimeseriesclasscalledts.Idon’trecommendthisrepresentationforgeneraluseb

6、ecausetheimplementationitselfistoorestrictiveandbecausetheassociatedfunctions(methods)arelimitedinscope,usefulness,andpower.355DateVersusDatetimeEveryobservationinatimeserieshasanassociateddateortime.Theobjectclassesusedinthischapter,zooandxts,giveyouthechoiceofusingeitherdatesor

7、datetimesforrepresentingthedata’stimecomponent.Youwouldusedatestorepresentdailydata,ofcourse,andalsoforweekly,monthly,orevenannualdata;inthesecases,thedategivesthedayonwhichtheobservationoccurred.Youwouldusedatetimesforintradaydata,whereboththedateandtimeofobservationareneeded.In

8、describingthischapter’srecipes,it’sprett