Add time series features calculated by the tsfeatures package

add_tsfeatures() adds a set of calculated features from the tsfeatures package for each time series in the group. These features provide information about various characteristics of the time series.

Usage

add_tsfeatures(.tbl, ..., standardize = TRUE, parallel = FALSE)

Arguments

.tbl: tibble; data with date (class: Date), value (class: numeric), and group (class: character) columns
...: character; one or more unquoted grouping columns
standardize: logical; If TRUE (default), the function with standardize each feature.
parallel: logical; If TRUE, features will be calculated in parallel. Default is FALSE.

Value

The original tibble with 20 additional feature columns.

Details

Function can be used with a global forecasting method or for EDA. See the tsfeatures website for more details on these features.

References

Pablo Montero-Manso, Rob J. Hyndman, Principles and algorithms for forecasting groups of time series: Locality and globality, International Journal of Forecasting, 2021 link

Examples


library(dplyr, warn.conflicts = FALSE)

group_ts_tbl <- tsbox::ts_tbl(fpp2::arrivals)

head(group_ts_tbl)
#> # A tibble: 6 × 3
#>   id    time       value
#>   <chr> <date>     <dbl>
#> 1 Japan 1981-01-01 14.8 
#> 2 Japan 1981-04-01  9.32
#> 3 Japan 1981-07-01 10.2 
#> 4 Japan 1981-10-01 19.5 
#> 5 Japan 1982-01-01 17.1 
#> 6 Japan 1982-04-01 10.6 

new_tbl <- add_tsfeatures(group_ts_tbl, id)

head(new_tbl)
#> # A tibble: 6 × 23
#>   id    time       value frequency nperiods seasonal_period trend  spike
#>   <chr> <date>     <dbl>     <dbl>    <dbl>           <dbl> <dbl>  <dbl>
#> 1 Japan 1981-01-01 14.8          4        1               4 0.327 0.0853
#> 2 Japan 1981-04-01  9.32         4        1               4 0.327 0.0853
#> 3 Japan 1981-07-01 10.2          4        1               4 0.327 0.0853
#> 4 Japan 1981-10-01 19.5          4        1               4 0.327 0.0853
#> 5 Japan 1982-01-01 17.1          4        1               4 0.327 0.0853
#> 6 Japan 1982-04-01 10.6          4        1               4 0.327 0.0853
#> # ℹ 15 more variables: linearity <dbl>, curvature <dbl>, e_acf1 <dbl>,
#> #   e_acf10 <dbl>, seasonal_strength <dbl>, peak <dbl>, trough <dbl>,
#> #   entropy <dbl>, x_acf1 <dbl>, x_acf10 <dbl>, diff1_acf1 <dbl>,
#> #   diff1_acf10 <dbl>, diff2_acf1 <dbl>, diff2_acf10 <dbl>, seas_acf1 <dbl>