Detect levels in time series

Use recursive partitioning function rpart::rpart() to perform a 'classification' of relatively stable levels in a timeseries.

Usage

ts_levels(
  y,
  minDataSplit = NROW(y)/5,
  minLevelDuration = round(minDataSplit/3),
  changeSensitivity = 0.01,
  maxLevels = 30,
  method = c("anova", "poisson", "class", "exp")[1],
  crossValidations = 10,
  minChange = NA,
  returnTrends = FALSE,
  Trend_minDataSplit = minDataSplit,
  Trend_minLevelDuration = minLevelDuration,
  Trend_changeSensitivity = changeSensitivity,
  Trend_maxLevels = maxLevels,
  Trend_method = method,
  Trend_crossValidations = crossValidations,
  Trend_minChange = NA,
  doLevelPlot = FALSE,
  doTreePlot = FALSE,
  returnTree = FALSE,
  returnPlot = FALSE,
  silent = FALSE
)

Arguments

y

A time series of numeric vector

minDataSplit

An integer indicating how many datapoints should be in a segment before it will be analysed for presence of a level or trend change (default = 12)

minLevelDuration

Minimum duration (number of datapoint) of a level (default = round(minDataSplit/3))

changeSensitivity

A number indicating a criterion of change that must occur before declaring a new level. Higher numbers indicate higher levels of change must occur before a new level is considered. For example, if method = "anova", the overall R^2 after a level is introduced must increase by the value of changeSensitivity, see the cp parameter in rpart::rpart.control(). (default = 0.01)

maxLevels

Approximately the maximum number of levels tht will be detectd. The value indicates the node-depth of the final tree with the root node being depth 0, see rpart::rpart.control() argument maxdepth (default = 30)

method

The partitioning method to use, see the manual pages of rpart for details.

crossValidations

The number of cross-validations (default = 10)

minChange

After the call to rpart, adjust detected level changes to a minimum absolute change in y, e.g. sd(y) or in case of a discrete scale, a minimal scale change that represents significant level change relative to the interpretation of the scale. If a level change is smaller than minChange, the previous level will be continued. Note that this is an iterative process starting at the beginning of the series and 'correcting' towards the end. The results are stored in p_adj. Set to NA to skip, which means p_adj will be identical to p (default = NA)

returnTrends

Should stationary trends also be estimated and returned? Unless otherwise specified, the arguments will be the same as for the level detection and argument minChange will be ignored for trends. This command will just run ts_levels(diff(y)) and add the slope segments and values to the level plot. See examples on how to create a custom plot (default = FALSE)

Trend_minDataSplit

see minDataSplit

Trend_minLevelDuration

see minLevelDuration

Trend_changeSensitivity

see changeSensitivity

Trend_maxLevels

see maxLevels

Trend_method

see method

Trend_crossValidations

see crossValidations

Trend_minChange

see minChange

doLevelPlot

Should a plot with the original series and the levels and/or trends be produced? If returnTrends = TRUE sloped regions will be displayed as segments (default = FALSE)

doTreePlot

Should a plot of the decision tree be produced. If returnTrends = TRUE there will be 2 trees. This requires package partykit. Use grid::grid.grab to grab the tree plot object as a grob (default = FALSE)

returnTree

should the tree object from rpart be returned in the output? (default = FALSE)

returnPlot

if TRUE returns the levelplot as a ggplot2 object (default = FALSE)

silent

silent(-ish) mode

Value

A list object with fields tree and pred. The latter is a data frame with columns x (time), y (the variable of interest) and p the predicted levels in y and p_adj, the levels in p but adjusted for the value passed to minChange.

See also

Other Time series operations: ts_center(), ts_changeindex(), ts_checkfix(), ts_detrend(), ts_diff(), ts_discrete(), ts_duration(), ts_embed(), ts_integrate(), ts_peaks(), ts_permtest_block(), ts_permtest_transmat(), ts_rasterize(), ts_sd(), ts_slice(), ts_slopes(), ts_standardise(), ts_sumorder(), ts_symbolic(), ts_trimfill(), ts_windower()

Author

Fred Hasselman

Examples

# Levels in white noise?

set.seed(4321)
y <- rnorm(100)
wn <- ts_levels(y)
#> Skipping adjustment by argument minChange...
plot(wn$pred$x,wn$pred$y, type = "l")
lines(wn$pred$p, col = "red3", lwd = 2)

# This is due to the default changeSensitivity of 0.01

wn2 <- ts_levels(y,changeSensitivity = .1)
#> Skipping adjustment by argument minChange...
lines(wn2$pred$p, col = "steelblue", lwd = 2)