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index.Rmd
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---
output: github_document
---
<!-- README.md is generated from README.Rmd. Please edit that file -->
```{r, echo = FALSE}
knitr::opts_chunk$set(
message = F,
warning = F,
collapse = TRUE,
comment = "#>",
fig.path = "README-"
)
```
```{r, echo=FALSE}
library(timetk)
```
# timetk
[](https://travis-ci.org/business-science/timetk.svg?branch=master)
[](https://codecov.io/gh/business-science/timetk)
[](https://cran.r-project.org/package=timetk)
<img src="README_0_logo.png" width="147" height="170" align="right" />
> A collection of tools for working with time series in R
## Benefits
The `timetk` package enables a user to more easily work with time series objects in R. The package has tools for inspecting and manipulating the time-based index, expanding the time features for data mining and machine learning, and converting time-based objects to and from the many time series classes. The following are key benefits:
* __Index extraction__: get the time series index from any time series object.
* __Understand time series__: create a signature decomposition and summary from a time series index.
* __Build future time series__: create a future time series from an index.
* __Coerce between time-based tibbles (`tbl`) and the major time series data types `xts`, `zoo`, `zooreg`, and `ts`__: Simplifies coercion and maximizes time-based data retention during coercion to regularized time series (e.g. `ts`).
An example of the forecasting capabilities as shown in vignette TK03 - Forecasting Using a Time Series Signature with `timetk`.
```{r echo=FALSE, out.width='100%'}
knitr::include_graphics("README_1_bikes_forecast.png")
```
## Tools
The package contains the following functions:
1. __Get an index__: `tk_index` returns the time series index of time
series objects, models. The argument `timetk_idx` can be used to return a
special timetk "index" attribute for regularized `ts` objects that returns a
non-regularized date / date-time index if present.
2. __Get critical timeseries information__: `tk_get_timeseries_signature` and `tk_get_timeseries_summary` takes an index and provides a time series decomposition and key summary attributes of the index, respectively. The `tk_augment_timeseries_signature` expedites adding the time series decomposition to the time series object.
3. __Make a future timeseries__: `tk_make_future_timeseries` models a
future time series after an existing time series index.
4. __Coercion functions__: `tk_tbl`, `tk_ts`, `tk_xts`, `tk_zoo`, and
`tk_zooreg` coerce time-based tibbles `tbl` to and from each of the main
time-series data types `xts`, `zoo`, `zooreg`, `ts`, maintaining the time-based
index.
## Getting started
Load libraries and start with some time series data
```{r}
library(timetk)
library(lubridate)
```
Use the FB time series.
```{r}
FB_tbl <- FANG %>%
filter(symbol == "FB")
FB_tbl
```
## Extract a time series index
Get the timeseries index.
```{r}
idx <- tk_index(FB_tbl)
head(idx)
```
## Expand the time series signature
Get the time series signature from the index, a tibble of decomposed features that are useful for __data mining__ and __machine learning__.
```{r}
tk_get_timeseries_signature(idx)
```
## Get a summary of the time series
Get the time series summary from the index, a single-row tibble of key summary information from the time series.
```{r}
# General summary
tk_get_timeseries_summary(idx)[1:6]
# Frequency summary
tk_get_timeseries_summary(idx)[6:12]
```
## Make a future time series
Use an index to make a future time series.
```{r}
holidays <- c("2017-01-02", "2017-01-16", "2017-02-20",
"2017-04-14", "2017-05-29", "2017-07-04",
"2017-09-04", "2017-11-23", "2017-12-25") %>%
ymd()
idx_future <- tk_make_future_timeseries(
idx,
n_future = 366,
skip_values = holidays,
inspect_weekdays = TRUE)
head(idx_future)
```
```{r}
tail(idx_future)
```
## Coerce time series without specifying order.by or worrying about coercion issues
Coercion to `xts`, `zoo`, or `ts` is simplified. The data is ordered correctly automatically using the column containing the date or datetime information. Non-numeric columns are automatically dropped with a warning to the user (the `silent = TRUE` hides the warnings).
```{r}
# xts
FB_xts <- tk_xts(FB_tbl, silent = TRUE)
```
```{r}
# zoo
FB_zoo <- tk_zoo(FB_tbl, silent = TRUE)
```
```{r}
# ts
FB_ts <- tk_ts(FB_tbl, start = 2013, freq = 252, silent = TRUE)
```
This covers the basics of the `timetk` package capabilities. Here's how to get started.
## Installation
_Download development version with latest features_:
``` {r, eval = FALSE}
# install.packages("devtools")
devtools::install_github("business-science/timetk")
```
_Or, download CRAN approved version_:
```{r, eval = FALSE}
install.packages("timetk")
```
## Acknowledgements: Standing On Shoulders
A lot of innovative time series and forecasting work is going on that ultimately benefits the community. We'd like to thank the following people and packages that came before `timetk` in time series analysis and machine learning.
* [`maltese`](https://github.com/bearloga/maltese): Similar in respect to `timetk` in that it enables machine learning-friendly data frame generation exposing a number of critical features that can be used for forecasting.
* [`lubridate`](https://github.com/hadley/lubridate): Contains an excellent set of functions to extract components of the date and datetime index.
* [`xts`](https://github.com/joshuaulrich/xts) and `zoo`: Fundamental packages for working with time series enabling creation of a time series index for `ts` class and calculating periodicity.
## Further Information
The `timetk` package includes a vignette to help users get up to speed quickly:
* TK00 - Time Series Coercion Using `timetk`
* TK01 - Working with the Time Series Index using `timetk`
* TK02 - Making a Future Time Series Index using `timetk`
* TK03 - Forecasting Using a Time Series Signature with `timetk`