A time series comprises observations taken at a sequence of time
points.
In most situations these time points will be (approximately) evenly
spaced. For example:
- Monthly rainfall figures
- Quarterly unemployment rates
Linear models can be applied to time series data, but typically it
will prove necessary to generalize the structure of the error terms from
the simple independent errors that we have assumed so far.
Tourism in Victoria
Data are number of room nights occupied in hotels, motels and
guesthouses in Victoria. Observations are monthly from January 1980 to
December 1994. Data source: Australian Bureau of Statistics.
Download Motel.csv
## Tourism <- read.csv(file = "Motel.csv", header = TRUE)
str(Tourism)
'data.frame': 180 obs. of 4 variables:
$ Year : int 1980 1980 1980 1980 1980 1980 1980 1980 1980 1980 ...
$ Month : int 1 2 3 4 5 6 7 8 9 10 ...
$ RoomNights: int 276986 260633 291551 275383 275302 231693 238829 274215 277808 299060 ...
$ AvePrice : num 27.7 28.7 28.6 28.3 28.7 ...
Tourism$Yr = Tourism$Year - 1979 + Tourism$Month/12
head(Tourism)
Year Month RoomNights AvePrice Yr
1 1980 1 276986 27.70 1.083333
2 1980 2 260633 28.67 1.166667
3 1980 3 291551 28.60 1.250000
4 1980 4 275383 28.34 1.333333
5 1980 5 275302 28.66 1.416667
6 1980 6 231693 28.57 1.500000
Note that Month
is coded 1, 2, ..., 12
and
is currently an integer valued variable.
Yr
is constructed to represent a “fractional year after
1979” (accounting for month).
We will use the average price variable in the practical exercise for
this week.
Tourism$NYear = 1979 + Tourism$Yr # to get nicely spaced points along x axis
plot(RoomNights ~ NYear, xlab = "Year", type = "l", data = Tourism)
Variation in a Time Series
Possible sources of variation in a time series are:
- Secular trend (or just trend): tendency of
the series to increase or decrease over a long period of time.
- Seasonal variation: describes fluctuations
that recur during specific parts of the year (e.g. quarterly or
monthly).
- Residual variation (or innovations): the
part of the variation which is not explained by long term trend or
seasonal effects.
- An additional cyclical source of variation
(corresponding to business cycles, for example) is sometimes
identified.
Modelling A Time Series
Time series data can be modelled using linear models (although there
are a number of alternative approaches).
- Long term trend can be modelled using polynomial regression.
- Seasonal effects can be represented by specifying the seasons
(e.g. months, quarters) as a factor in the model.
- Additional covariates can sometimes be incorporated in such models
(e.g. standard economic indicators may be included to help explain
variation in sales data)
Back to the Tourism Data
Model Fitting and ANOVA
Tourism$Month <- factor(Tourism$Month)
Tourism.lm <- lm(RoomNights ~ Yr + Month, data = Tourism)
anova(Tourism.lm)
Analysis of Variance Table
Response: RoomNights
Df Sum Sq Mean Sq F value Pr(>F)
Yr 1 5.4099e+11 5.4099e+11 2494.398 < 2.2e-16 ***
Month 11 1.5589e+11 1.4172e+10 65.346 < 2.2e-16 ***
Residuals 167 3.6219e+10 2.1688e+08
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Call:
lm(formula = RoomNights ~ Yr + Month, data = Tourism)
Residuals:
Min 1Q Median 3Q Max
-37721 -8900 -1826 7931 48624
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 261275.9 4321.6 60.458 < 2e-16 ***
Yr 12705.7 254.1 50.010 < 2e-16 ***
Month2 -30740.9 5377.5 -5.717 4.90e-08 ***
Month3 24115.9 5377.7 4.484 1.35e-05 ***
Month4 -1464.5 5377.9 -0.272 0.785712
Month5 -18682.5 5378.2 -3.474 0.000654 ***
Month6 -65076.5 5378.5 -12.099 < 2e-16 ***
Month7 -43764.3 5379.0 -8.136 8.89e-14 ***
Month8 -29006.2 5379.5 -5.392 2.35e-07 ***
Month9 -11274.0 5380.2 -2.095 0.037636 *
Month10 27159.2 5380.9 5.047 1.16e-06 ***
Month11 17231.1 5381.7 3.202 0.001635 **
Month12 -57892.7 5382.5 -10.756 < 2e-16 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 14730 on 167 degrees of freedom
Multiple R-squared: 0.9506, Adjusted R-squared: 0.947
F-statistic: 267.8 on 12 and 167 DF, p-value: < 2.2e-16
plot(RoomNights ~ NYear, xlab = "Year", data = Tourism)
lines(Tourism$NYear, fitted(Tourism.lm), col = "blue")
title("Fitted Linear Model")
More Model Fitting in R
Tourism.lm.2 <- lm(RoomNights ~ poly(Yr, 2) + Month, data = Tourism)
anova(Tourism.lm, Tourism.lm.2)
Analysis of Variance Table
Model 1: RoomNights ~ Yr + Month
Model 2: RoomNights ~ poly(Yr, 2) + Month
Res.Df RSS Df Sum of Sq F Pr(>F)
1 167 3.6219e+10
2 166 3.5762e+10 1 456501120 2.119 0.1474
No evidence that quadratic trend improves on linear
(P=0.1418).
Residuals Versus Time
plot(Tourism$Yr, resid(Tourism.lm), type = "l", xlab = "Year-1979")
The time plot of residuals for the linear trend model suggests that
there are extended periods when the residuals are almost all negative
(1986-1988) and extended periods where the residuals are almost all
positive (1989-1990).
Such behaviour should not be observed if the errors are
independent.
However, for time series data it is common for some residual
correlation between residuals to remain even when the trend and seasonal
variation has been removed.
This type of correlation in the sequence of residuals is usually
called autocorrelation.
Stationary Processes and Autocorrelation
Consider a random process in time: Zt where
t=1,2,… and Zt represents the value of the
process at time t.
This process is said to be (weakly) stationary if:
- E[Zt] and Var(Zt) do not
change with time t.
- The correlation Corr(Zt, Zt+k)
depends only on the time lag k.
It is common to model the residuals from a time series as a
stationary random process with zero mean.
For a stationary process, the autocorrelation
function (or ACF) is defined by \[\rho(k) = \mbox{Corr}(Z_t, Z_{t+k})\]
The ACF (autocorrelation against time lag) can be plotted in R using
the acf()
command.
Tourism Data: ACF Plot for Residuals
- The ACF plot indicates a correlation of about \(0.4\) at lag one. Hence consecutive
residuals are positively dependent.
- The dashed horizontal lines on the plot are a 95% confidence
interval under the assumption that the true autocorrelation is
zero.
- Any correlation lying within this confidence interval may be just
noise.
- Any correlation lying outside this confidence interval is probably
indicative of true serial dependence in the data.
For the tourism data it seems that there is serial dependence in the
data, since the correlations at lags 1, 2, 3 and 4 all extend beyond the
confidence interval bounds.
The existence of several significant correlations is common when
autocorrelation exists. If the correlation between the
ith and jth variables is high,
and so is the correlation between the jth and
kth variables, we ought to expect the correlation
between the ith and kth
variables to also be high. When we are thinking about time series, the
correlation for data from lags 0 and 1 is the same as the data from lags
1 and 2 because they are both sets formed by pairs of successive
observations. If observations are correlated with their preceding
observations, and those preceding observations are correlated with their
preceding observations, then there is likely to be a correlation between
observations and those that are back two time steps. This logic
continues to three, four, and greater time lags and is especially likely
when the correlation at the first lag is very, very high.
---
title: "Lecture 34: Introduction to Linear Modelling for Time Series"
subtitle: 161.251 Regression Modelling
author: "Presented by Jonathan Marshall <J.C.marshall@massey.ac.nz>"  
date: "Week 12 of Semester 2, `r lubridate::year(lubridate::now())`"
output:
  html_document:
    code_download: true
    theme: yeti
    highlight: tango
  html_notebook:
    code_download: true
    theme: yeti
    highlight: tango
  beamer_presentation: default
  word_document: default
  ioslides_presentation: default
  slidy_presentation: 
    theme: yeti
    highlight: tango
  pdf_document: default
---




<!--- Data is on
https://r-resources.massey.ac.nz/data/161251/
--->

```{r setup, purl=FALSE, include=FALSE}
library(knitr)
opts_chunk$set(dev=c("png", "pdf"))
opts_chunk$set(fig.height=6, fig.width=7, fig.path="Figures/", fig.alt="unlabelled")
opts_chunk$set(comment="", fig.align="center", tidy=TRUE)
options(knitr.kable.NA = '')
library(tidyverse)
library(broom)
```


<!--- Do not edit anything above this line. --->


A time series comprises observations taken at a sequence of time points.

In most situations these time points will be (approximately) evenly spaced. For example:
    
- Monthly rainfall figures
- Quarterly unemployment rates

Linear models can be applied to time series data, but typically it
    will prove necessary to generalize the structure of the error terms
    from the simple independent errors that we have assumed so far.

## Tourism in Victoria





Data are number of room nights occupied in hotels, motels and guesthouses in Victoria.
Observations are monthly from January 1980 to December 1994.
Data source: Australian Bureau of Statistics.

![A motel room.](../graphics/motel.jpg) []()


`r xfun::embed_file("../../data/Motel.csv")`


```{r getTourismData, echo=-1, eval=-2}
Tourism <- read.csv(file="../../data/Motel.csv", header=TRUE)
Tourism <- read.csv(file="Motel.csv", header=TRUE)
str(Tourism)
Tourism$Yr = Tourism$Year -1979 + Tourism$Month/12
head(Tourism)
```

Note that `Month` is coded `1, 2, ..., 12` and is currently an integer valued variable.

`Yr` is constructed to represent a "fractional year after 1979" (accounting for
    month). 


We will use the average price variable in the practical exercise for this week.

```{r plotTourism, fig.cap="There is clear evidence of upward trend and seasonal (monthly) variation."}
Tourism$NYear = 1979 + Tourism$Yr # to get nicely spaced points along x axis
plot(RoomNights~NYear, xlab= "Year", type="l", data=Tourism)
```


## Variation in a Time Series

Possible sources of variation in a time series are:
    
- ***Secular trend*** (or just trend):  tendency of the series to increase or decrease over a long
        period of time.
- ***Seasonal variation***: describes fluctuations that
        recur during specific parts of the year (e.g. quarterly or
        monthly).
- Residual variation (or ***innovations***): the part of the variation which is not explained by long term        trend or seasonal effects.
- An additional ***cyclical*** source of variation (corresponding to business cycles, for example) is sometimes
    identified.

## Modelling A Time Series

Time series data can be modelled using linear models (although there
    are a number of alternative approaches).

- Long term trend can be modelled using polynomial regression.
- Seasonal effects can be represented by specifying the seasons (e.g. months, quarters) as a factor in the model.
- Additional covariates can sometimes be incorporated in such models (e.g. standard economic indicators may be included to help explain   variation in sales data)

## Back to the Tourism Data

### Model Fitting and ANOVA

```{r Tourism.lm}
Tourism$Month <- factor(Tourism$Month)
Tourism.lm <- lm(RoomNights~Yr + Month, data=Tourism)
anova(Tourism.lm)
```


```{r sumTourism.lm}
summary(Tourism.lm)
```


```{r FitsPlotTourism.lm}
plot(RoomNights~NYear, xlab="Year", data=Tourism)
lines(Tourism$NYear, fitted(Tourism.lm), col="blue")
title("Fitted Linear Model")
```

### Comments

`Yr` (which is essentially time) is the appropriate
    covariate to track trend (not `Year`, which would ignore
    secular trend during a year).

It is important to remember to code `Month` as a factor so as
    to represent seasonal effects.

There is strong evidence of trend ($P < 2.2 \times 10^{-16}$ for
    `Yr`) and of seasonality ($P < 2.2 \times 10^{-16}$ for `Month`) in the data.

As might be expected, room bookings tend to be low in the winter
    months. The pattern over summer is less clear. Perhaps December is a
    bad month because of the Christmas effect?

We have assumed a linear secular trend. Would quadratic be better?

### More Model Fitting in R

```{r Tourism.lm.2}
Tourism.lm.2 <- lm(RoomNights~poly(Yr,2)+Month, data=Tourism)
anova(Tourism.lm, Tourism.lm.2)
```

No evidence that quadratic trend improves on linear (*P=0.1418*).

### Residuals Versus Time


```{r TourismPlot}
plot(Tourism$Yr, resid(Tourism.lm), type="l", xlab="Year-1979")
```



The time plot of residuals for the linear trend model suggests that
    there are extended periods when the residuals are almost all
    negative (1986-1988) and extended periods where the residuals are
    almost all positive (1989-1990).

Such behaviour should not be observed if the errors are independent.

However, for time series data it is common for some residual
    correlation between residuals to remain even when the trend and
    seasonal variation has been removed.

This type of correlation in the sequence of residuals is usually     called **autocorrelation**.

## Stationary Processes and Autocorrelation

Consider a random process in time: *Z~t~* where *t=1,2,...* and *Z~t~* represents the value of the process at time *t*.

This process is said to be (weakly) stationary if:
    
- *E[Z~t~]* and *Var(Z~t~)* do not change with time   *t*.
- The correlation *Corr(Z~t~, Z~t+k~)* depends only on the      time lag *k*.

It is common to model the residuals from a time series as a
    stationary random process with zero mean.

For a stationary process, the **autocorrelation function** (or ACF) is defined by
    $$\rho(k) = \mbox{Corr}(Z_t, Z_{t+k})$$

The ACF (autocorrelation against time lag) can be plotted in R using    the `acf()` command.

### Tourism Data: ACF Plot for Residuals

```{r TourismACF}
acf(resid(Tourism.lm))
```


- The ACF plot indicates a correlation of about $0.4$ at lag one.
    Hence consecutive residuals are positively dependent.
- The dashed horizontal lines on the plot are a 95% confidence interval
    under the assumption that the true autocorrelation is zero.
- Any correlation lying within this confidence interval may be just
    noise.
- Any correlation lying outside this confidence interval is probably
    indicative of true serial dependence in the data.

For the tourism data it seems that there is serial dependence in the
    data, since the correlations at lags 1, 2, 3 and 4 all extend beyond
    the confidence interval bounds.

The existence of several significant correlations is common when autocorrelation exists. If the correlation between  the *i*^th^ and *j*^th^ variables is high, and so is the correlation between the *j*^th^ and *k*^th^ variables, we ought to expect the correlation between the *i*^th^ and *k*^th^ variables to also be high. When we are thinking about time series, the correlation for data from lags 0 and 1  is the same as the data from lags 1 and 2 because they are both sets formed by pairs of successive observations. If observations are correlated with their preceding observations, and those preceding observations are correlated with their preceding observations, then there is likely to be a correlation between observations and those that are back two time steps. This logic continues to three, four, and greater time lags and is especially likely when the correlation at the first lag is very, very high.



Comments
Yr
(which is essentially time) is the appropriate covariate to track trend (notYear
, which would ignore secular trend during a year).It is important to remember to code
Month
as a factor so as to represent seasonal effects.There is strong evidence of trend (\(P < 2.2 \times 10^{-16}\) for
Yr
) and of seasonality (\(P < 2.2 \times 10^{-16}\) forMonth
) in the data.As might be expected, room bookings tend to be low in the winter months. The pattern over summer is less clear. Perhaps December is a bad month because of the Christmas effect?
We have assumed a linear secular trend. Would quadratic be better?