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Time series and regression presentation for oct 5th rice presentation r group

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Short presentation on multivariate regression and time series regression using the open source package R

Short presentation on multivariate regression and time series regression using the open source package R

Published in: Technology, Economy & Finance

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Transcript

  • 1. Example Time Series & Multivariate Regression in R - Predicting Steel Demand
  • 2. Time Series
    The math is pretty substantial (at least for me!)
    Key concepts are seasonality, auto-regression, trend and level
    We used Holt-Winters and ARIMA (auto regression integrated moving average); plenty of other functions exist
  • 3. Client management wants to predict demand (in tons) of steel
  • 4. Some HW Code
  • 5. Prediction
  • 6. ARIMA
    “Seasonal ARIMA modelsare powerful tools in the analysis of time series as they are capable of modeling a very wide range of series”
    Best to learn thoroughly and from deep study. But if you have a day job …. Just pluck code to optimize the parameters and use it
  • 7. Here’s the code for selecting the best ARIMA parameters
  • 8. Multivariate Regression
    Identified about 150 economic indicators; from economy.com and other sources.
  • 9. 1 response; 150 predictors – tedious to find best COR
  • 10. Now we know top ten predictors for agriculture – let’s build a model
  • 11. Whack a mole on predictors
  • 12. Get a nice model
  • 13. Remembering why we walked into the swamp … oh yea, to predict future tons for agriculture products
  • 14. Another approach
    You can “lag” your predictors so that – for example - when you build your model, you associate July 2011 actual (response) with April of 2011 predictor value. If you have a good model, lagging allows you to predict future values without depending on “experts” to opine on future economic indicators.
  • 15. Simple code to “lag”
    R has a
    Built in
    Lag function
  • 16. If you want a copy of slides or code, just email me.
    Bill Yarberry
    wayarberry@yahoo.com
    Thanks.