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TSclust-An R Package for Time Series Clustering.pdf
(1.08 MB)
Time series clustering is an active research area with applications in a wide range of fields. One key component in cluster analysis is determining a proper dissimilarity measure between two data objects, and many criteria have been proposed in the literature to assess dissimilarity between two time series. The R package TSclust is aimed to implement a large set of well-established peer-reviewed time series dissimilarity measures, including measures based on raw data, extracted features, underlying parametric models, complexity levels, and forecast behaviors. Computation of these measures allows the user to perform clustering by using conventional clustering algorithms. TSclust also includes a clustering procedure based on p values from checking the equality of generating models, and some utilities to evaluate cluster solutions. The implemented dissimilarity functions are accessible individually for an easier extension and possible use out of the clustering context. The main features of TSclust are described and examples of its use are presented.
Seasonal Adjustment with the R Packages x12 and x12GUI.pdf
(546.49 KB)
The X-12-ARIMA seasonal adjustment program of the US Census Bureau extracts the different components (mainly: seasonal component, trend component, outlier component and irregular component) of a monthly or quarterly time series. It is the state-of-the- art technology for seasonal adjustment used in many statistical offices. It is possible to include a moving holiday effect, a trading day effect and user-defined regressors, and additionally incorporates automatic outlier detection. The procedure makes additive or multiplicative adjustments and creates an output data set containing the adjusted time series and intermediate calculations.
The original output from X-12-ARIMA is somehow static and it is not always an easy task for users to extract the required information for further processing. The R package x12 provides wrapper functions and an abstraction layer for batch processing of X-12-ARIMA. It allows summarizing, modifying and storing the output from X-12-ARIMA within a well-defined class-oriented implementation. On top of the class-oriented (command line) implementation the graphical user interface allows access to the R package x12 without requiring too much R knowledge. Users can interactively select additive outliers, level shifts and temporary changes and see the impact immediately.
The provision of the powerful X-12-ARIMA seasonal adjustment program available directly from within R, as well as of the new facilities for marking outliers, batch processing and change tracking, makes the package a potent and functional tool.
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