tk_get_holiday: Get holiday features from a time-series index

In timetk: A Tool Kit for Working with Time Series

Get holiday features from a time-series index

Description

Get holiday features from a time-series index

Usage

tk_get_holiday_signature(
  idx,
  holiday_pattern = ".",
  locale_set = c("all", "none", "World", "US", "CA", "GB", "FR", "IT", "JP", "CH", "DE"),
  exchange_set = c("all", "none", "NYSE", "LONDON", "NERC", "TSX", "ZURICH")
)

tk_get_holidays_by_year(years = year(today()))

Arguments

idx	A time-series index that is a vector of dates or datetimes.
holiday_pattern	A regular expression pattern to search the "Holiday Set".
locale_set	Return binary holidays based on locale. One of: "all", "none", "World", "US", "CA", "GB", "FR", "IT", "JP", "CH", "DE".
exchange_set	Return binary holidays based on Stock Exchange Calendars. One of: "all", "none", "NYSE", "LONDON", "NERC", "TSX", "ZURICH".
years	One or more years to collect holidays for.

Details

Feature engineering holidays can help identify critical patterns for machine learning algorithms. tk_get_holiday_signature() helps by providing feature sets for 3 types of features:

1. Individual Holidays

These are single holiday features that can be filtered using a pattern. This helps in identifying which holidays are important to a machine learning model. This can be useful for example in e-commerce initiatives (e.g. sales during Christmas and Thanskgiving).

2. Locale-Based Summary Sets

Locale-based holdiay sets are useful for e-commerce initiatives (e.g. sales during Christmas and Thanskgiving). Filter on a locale to identify all holidays in that locale.

3. Stock Exchange Calendar Summary Sets

Exchange-based holdiay sets are useful for identifying non-working days. Filter on an index to identify all holidays that are commonly non-working.

Value

Returns a tibble object describing the timeseries holidays.

See Also

• tk_augment_holiday_signature() - A quick way to add holiday features to a data.frame

• step_holiday_signature() - Preprocessing and feature engineering steps for use with recipes

Examples

library(dplyr)
library(stringr)

# Works with time-based tibbles
idx <- tk_make_timeseries("2017-01-01", "2017-12-31", by = "day")

# --- BASIC USAGE ----

tk_get_holiday_signature(idx)

# ---- FILTERING WITH PATTERNS & SETS ----

# List available holidays - see patterns
tk_get_holidays_by_year(2020) %>%
    filter(holiday_name %>% str_detect("US_"))

# Filter using holiday patterns
# - Get New Years, Christmas and Thanksgiving Features in US
tk_get_holiday_signature(
    idx,
    holiday_pattern = "(US_NewYears)|(US_Christmas)|(US_Thanks)",
    locale_set      = "none",
    exchange_set    = "none")

# ---- APPLYING FILTERS ----

# Filter with locale sets - Signals all holidays in a locale
tk_get_holiday_signature(
    idx,
    holiday_pattern = "$^", # Matches nothing on purpose
    locale_set      = "US",
    exchange_set    = "none")

# Filter with exchange sets - Signals Common Non-Business Days
tk_get_holiday_signature(
    idx,
    holiday_pattern = "$^", # Matches nothing on purpose
    locale_set      = "none",
    exchange_set    = "NYSE")

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