Simple Case Studies

In srlTS: Sparsity-Ranked Lasso for Time Series

knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>"
)

library(srlTS)
library(magrittr) # for pipe

Lake Huron data set

data("LakeHuron")

fit_LH <- srlTS(LakeHuron)

fit_LH
coef(fit_LH)

EuStockMarkets

If you have a univariate time series with suspected trend, such as the EuStockMarkets data set,

data("EuStockMarkets")
X <- as.numeric(time(EuStockMarkets))
X_sp <- splines::bs(X-min(X), df = 9)

fit_stock <- srlTS(log(EuStockMarkets[,1]), n_lags_max = 400, X = X_sp, w_exo = "unpenalized")
tail(coef(fit_stock), 11)

# insert plot? 

Seasonal examples

Nottem

data("nottem")
fit_nt <- srlTS(nottem, n_lags_max = 24)
coef(fit_nt)

UKDriverDeaths

data("UKDriverDeaths")
fit_ukdd <- srlTS(UKDriverDeaths, n_lags_max = 24)
coef(fit_ukdd)

Adding holiday indicators...

sunspot

data("sunspot.month")
fit_ssm <- srlTS(sunspot.month)
fit_ssm

Model summaries

summary(fit_ssm)

srlTS documentation built on May 29, 2024, 10:57 a.m.