Intelligent Date & Time Sequences

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# devtools::load_all() # Travis CI fails on load_all()

Creating and modifying date sequences is critical to machine learning projects. We discuss:


Before we get started, load the following packages.


Making a Time Series Sequence

tk_make_timeseries() improves on the seq.Date() and seq.POSIXt() functions by simplifying into 1 function. Intelligently handles character dates and logical assumptions based on user inputs.

By Day

# Selects by day automatically
tk_make_timeseries("2011", length_out = "7 days", include_endpoints = FALSE)

By 2 Seconds

# Guesses by second
tk_make_timeseries("2016", by = "2 sec", length_out = "6 seconds")

Length Out = 1 year 6 months

                   by = "1 month",
                   length_out = "1 year 6 months", 
                   include_endpoints = FALSE)

Go In Reverse

tk_make_timeseries(end_date = "2012-07-01", 
                   by = "1 month",
                   length_out = "1 year 6 months")

Future Time Series Sequence

A common operation is to make a future time series sequence that mimics an existing. This is what tk_make_future_timeseries() is for.

Suppose we have an existing time index.

idx <- tk_make_timeseries("2012", by = "3 months", 
                          length_out = "2 years", 
                          include_endpoints = FALSE)

Make a Future Time Series from an Existing

We can create a future time sequence from the existing sequence using tk_make_future_timeseries().

tk_make_future_timeseries(idx, length_out = "2 years")

Weekends & Holidays

Make weekday sequence removing holidays

idx <- tk_make_weekday_sequence("2012",
                                remove_weekends = TRUE, 
                                remove_holidays = TRUE, calendar = "NYSE")


Which holidays were removed?

tk_make_holiday_sequence("2012", calendar = "NYSE")

Make future index removing holidays

holidays <- tk_make_holiday_sequence(
    start_date = "2013-01-01",
    end_date   = "2013-12-31",
    calendar   = "NYSE")

idx_future <- idx %>%
   tk_make_future_timeseries(length_out       = "1 year",
                             inspect_weekdays = TRUE,
                             skip_values      = holidays)


Learning More

My Talk on High-Performance Time Series Forecasting

Time series is changing. Businesses now need 10,000+ time series forecasts every day.

High-Performance Forecasting Systems will save companies MILLIONS of dollars. Imagine what will happen to your career if you can provide your organization a "High-Performance Time Series Forecasting System" (HPTSF System).

I teach how to build a HPTFS System in my High-Performance Time Series Forecasting Course. If interested in learning Scalable High-Performance Forecasting Strategies then take my course. You will learn:

Unlock the High-Performance Time Series Forecasting Course

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timetk documentation built on Nov. 2, 2023, 6:18 p.m.