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R:使用diff()使时间序列平稳的错误

arima forecasting time-series r

Joehat · 技术社区 · 4 年前

我有一个数据集,从一段时间内每个月的1号开始,每月都有数据。

> class(gas_data$Date)
[1] "Date"

> head(gas_data$Date)
[1] "2010-10-01" "2010-11-01" "2010-12-01" "2011-01-01" "2011-02-01" "2011-03-01"

为了使时间序列平稳,我使用了基本包中的diff():

> gas_data_diff <- diff(gas_data, differences = 1, lag = 12)

> head(gas_data_diff)
data frame with 0 columns and 6 rows

> names(gas_data_diff)
character(0)

> gas_data_diff %>%
+   ggplot(aes(x=Date, y=Price.Gas)) +
+   geom_line(color="darkorchid4")


Error in FUN(X[[i]], ...) : object 'Price.Gas' not found

如您所见,我得到了一个错误,当试图用head()可视化数据或查找特性名称时,我得到了一个意外的输出。

这是我原始数据的head()

> head(gas_data)
        Date Per.Change Domestic.Production.from.UKCS Import Per.GDP.Growth Average.Temperature Price.Electricity Price.Gas
1 2010-10-01      2.08                          3.54   5.40            0.2               10.44             43.50     46.00
2 2010-11-01     -3.04                          3.46   6.74           -0.1                5.52             46.40     49.66
3 2010-12-01      0.31                          3.54   9.00           -0.9                0.63             58.03     62.26
4 2011-01-01      2.65                          3.59   7.58            0.6                4.05             48.43     55.98
5 2011-02-01      1.52                          3.20   5.68            0.4                6.29             46.47     53.74
6 2011-03-01     -1.38                          3.40   5.93            0.5                6.59             51.41     60.39

0 回复 | 直到 4 年前

kangaroo_cliff 4 年前

解释

根据 diff x 必须是

x : a numeric vector or matrix containing the values to be differenced.

返回一个eplty数据框如果是数据帧。

IMO最佳方法

我认为在中使用日期列没什么意义 . 所以。我可能会遵循以下方法。

rownames(df) <- df$Date                                                                      
diff(as.matrix(df[, - 1]), lag = 1)  

# converr to a matrix and apply diff
diff_mat <- diff(as.matrix(df[, - 1]), lag = 1)     

# convert back to dataframe and set the Date column                                                 
diff_df <- as.data.frame(diff_mat) 
diff_df$Date <- diff_df$Date

# now plot function should work

将日期向量转换为数字,然后转换为diff中的矩阵

df$Date <- as.numeric(df$Date)
diff(as.matrix(df), 1, 2)                                                                    
#      Date Per.Change Domestic.Production.from.UKCS Import Per.GDP.Growth
# [1,]   -1       8.47                          0.16   0.92           -0.5
# [2,]    1      -1.01                         -0.03  -3.68            2.3
# [3,]    0      -3.47                         -0.44  -0.48           -1.7
# [4,]   -3      -1.77                          0.59   2.15            0.3
#      Average.Temperature Price.Electricity Price.Gas
# [1,]                0.03              8.73      8.94
# [2,]                8.31            -21.23    -18.88
# [3,]               -1.18              7.64      4.04
# [4,]               -1.94              6.90      8.89

创建数据

df <- read.table(text = "Date Per.Change Domestic.Production.from.UKCS Import Per.GDP.Growth Average.Temperature Price.Electricity Price.Gas
2010-10-01      2.08                          3.54   5.40            0.2               10.44             43.50     46.00
2010-11-01     -3.04                          3.46   6.74           -0.1                5.52             46.40     49.66
2010-12-01      0.31                          3.54   9.00           -0.9                0.63             58.03     62.26
2011-01-01      2.65                          3.59   7.58            0.6                4.05             48.43     55.98
2011-02-01      1.52                          3.20   5.68            0.4                6.29             46.47     53.74
2011-03-01     -1.38                          3.40   5.93            0.5                6.59             51.41     60.39", 
header = T, sep ="")

df$Date <- as.Date(df$Date)