R语言入门：时间序列分析实战指南

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A Little Book of R For Time Series, Release 0.2

Alternatively, you can use the name of the fourth element in the table (“John”) to ﬁnd the value of that table

element:

> mytable[["John"]]

[1] 2

Functions in R usually require arguments, which are input variables (ie. objects) that are passed to them, which

they then carry out some operation on. For example, the log10() function is passed a number, and it then calculates

the log to the base 10 of that number:

> log10(100)

In R, you can get help about a particular function by using the help() function. For example, if you want help

about the log10() function, you can type:

> help("log10")

When you use the help() function, a box or webpage will pop up with information about the function that you

asked for help with.

If you are not sure of the name of a function, but think you know part of its name, you can search for the function

name using the help.search() and RSiteSearch() functions. The help.search() function searches to see if you

already have a function installed (from one of the R packages that you have installed) that may be related to some

topic you’re interested in. The RSiteSearch() function searches all R functions (including those in packages that

you haven’t yet installed) for functions related to the topic you are interested in.

For example, if you want to know if there is a function to calculate the standard deviation of a set of numbers, you

can search for the names of all installed functions containing the word “deviation” in their description by typing:

> help.search("deviation")

Help files with alias or concept or title matching

’deviation’ using fuzzy matching:

genefilter::rowSds

Row variance and standard deviation of

a numeric array

nlme::pooledSD Extract Pooled Standard Deviation

stats::mad Median Absolute Deviation

stats::sd Standard Deviation

vsn::meanSdPlot Plot row standard deviations versus row

Among the functions that were found, is the function sd() in the “stats” package (an R package that comes with

the standard R installation), which is used for calculating the standard deviation.

In the example above, the help.search() function found a relevant function (sd() here). However, if you did not

ﬁnd what you were looking for with help.search(), you could then use the RSiteSearch() function to see if a search

of all functions described on the R website may ﬁnd something relevant to the topic that you’re interested in:

> RSiteSearch("deviation")

The results of the RSiteSearch() function will be hits to descriptions of R functions, as well as to R mailing list

discussions of those functions.

We can perform computations with R using objects such as scalars and vectors. For example, to calculate the

average of the values in the vector myvector (ie. the average of 8, 6, 9, 10 and 5), we can use the mean() function:

> mean(myvector)

[1] 7.6

We have been using built-in R functions such as mean(), length(), print(), plot(), etc. We can also create our own

functions in R to do calculations that you want to carry out very often on different input data sets. For example,

we can create a function to calculate the value of 20 plus square of some input number:

1.5. A brief introduction to R 9

CHAPTER 2

Using R for Time Series Analysis

2.1 Time Series Analysis

This booklet itells you how to use the R statistical software to carry out some simple analyses that are common in

analysing time series data.

This booklet assumes that the reader has some basic knowledge of time series analysis, and the principal focus of

the booklet is not to explain time series analysis, but rather to explain how to carry out these analyses using R.

If you are new to time series analysis, and want to learn more about any of the concepts presented here, I would

highly recommend the Open University book “Time series” (product code M249/02), available from from the

Open University Shop.

In this booklet, I will be using time series data sets that have been kindly made available by Rob Hyndman in his

Time Series Data Library at http://robjhyndman.com/TSDL/.

There is a pdf version of this booklet available at https://media.readthedocs.org/pdf/a-little-book-of-r-for-time-

series/latest/a-little-book-of-r-for-time-series.pdf.

If you like this booklet, you may also like to check out my booklet on using R for biomedical statistics, http://a-

little-book-of-r-for-biomedical-statistics.readthedocs.org/, and my booklet on using R for multivariate analysis,

http://little-book-of-r-for-multivariate-analysis.readthedocs.org/.

2.2 Reading Time Series Data

The ﬁrst thing that you will want to do to analyse your time series data will be to read it into R, and to plot the

time series. You can read data into R using the scan() function, which assumes that your data for successive time

points is in a simple text ﬁle with one column.

For example, the ﬁle http://robjhyndman.com/tsdldata/misc/kings.dat contains data on the age of death of succes-

sive kings of England, starting with William the Conqueror (original source: Hipel and Mcleod, 1994).

The data set looks like this:

Age of Death of Successive Kings of England

#starting with William the Conqueror

#Source: McNeill, "Interactive Data Analysis"

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