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Time Series Analysis

This document discusses time series analysis techniques applied to airline passenger data. It loads and explores the data, visually depicting trends and seasonality. The document then tests for stationarity, differentiates the data to make it stationary, and checks stationarity again.

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Vardan
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23 views9 pages

Time Series Analysis

This document discusses time series analysis techniques applied to airline passenger data. It loads and explores the data, visually depicting trends and seasonality. The document then tests for stationarity, differentiates the data to make it stationary, and checks stationarity again.

Uploaded by

Vardan
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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time-series-analysis

December 26, 2023

[1]: import pandas as pd


import numpy as np
import matplotlib.pyplot as plt
import seaborn as sns

from statsmodels.tsa.seasonal import seasonal_decompose

[2]: df = pd.read_csv('/kaggle/input/air-passengers/AirPassengers.csv')
df.head()

[2]: Month #Passengers


0 1949-01 112
1 1949-02 118
2 1949-03 132
3 1949-04 129
4 1949-05 121

[6]: df.rename(columns={"#Passengers": "Passengers"}, inplace=True)


df.head()

[6]: Month Passengers


0 1949-01 112
1 1949-02 118
2 1949-03 132
3 1949-04 129
4 1949-05 121

[7]: df.shape

[7]: (144, 2)

[9]: df['Month'] = pd.to_datetime(df.Month)


df = df.set_index(df.Month)

[10]: df.drop('Month', axis = 1, inplace = True)


print('Column datatypes= \n',df.dtypes)

1
Column datatypes=
Passengers int64
dtype: object

[11]: df

[11]: Passengers
Month
1949-01-01 112
1949-02-01 118
1949-03-01 132
1949-04-01 129
1949-05-01 121
… …
1960-08-01 606
1960-09-01 508
1960-10-01 461
1960-11-01 390
1960-12-01 432

[144 rows x 1 columns]

1 Time Series Characteristics


1.1 Trend
[14]: plt.figure(figsize= (10,6))
plt.plot(df, color="blue")
plt.xlabel('Years')
plt.ylabel('No of Air Passengers')
plt.title('Trend of the Time Series')

[14]: Text(0.5, 1.0, 'Trend of the Time Series')

2
1.2 Seasonality
[15]: # To plot the seasonality we are going to create a temp dataframe and add␣
↪columns for Month and Year values

df_temp = df.copy()
df_temp['Year'] = pd.DatetimeIndex(df_temp.index).year
df_temp['Month'] = pd.DatetimeIndex(df_temp.index).month

[16]: # Stacked line plot


plt.figure(figsize=(10,10))
plt.title('Seasonality of the Time Series')
sns.pointplot(x='Month',y='Passengers',hue='Year',data=df_temp)

[16]: <Axes: title={'center': 'Seasonality of the Time Series'}, xlabel='Month',


ylabel='Passengers'>

3
1.3 Decomposition of Time Series
[20]: # Decompose the time series into trend, seasonality, and residuals
decomposition = seasonal_decompose(df['Passengers'], model='additive')

[21]: fig = decomposition.plot()

4
2 Time Series Analysis
2.1 Check for Stationarity
[34]: from statsmodels.tsa.stattools import adfuller
timeseries = df['Passengers']

def stationarity_test(timeseries):
rolling_mean = timeseries.rolling(window=12).mean()
rolling_std = timeseries.rolling(window=12).std()

# Plot rolling statistics


plt.figure(figsize=(10, 6))
plt.xlabel('Years')
plt.ylabel('No of Air Passengers')
plt.title('Stationary Test: Rolling Mean and Standard Deviation')
plt.plot(timeseries, color='blue', label='Original')
plt.plot(rolling_mean, color='green', label='Rolling Mean')
plt.plot(rolling_std, color='red', label='Rolling Std')
plt.legend()

5
plt.show()

# Dickey-Fuller test
print('Results of Dickey-Fuller Test')
df_test = adfuller(timeseries)
df_output = pd.Series(df_test[0:4], index=['Test Statistic', 'p-value',␣
↪'#Lags Used', 'Number of Observations Used'])

for key, value in df_test[4].items():


df_output['Critical Value (%s)' % key] = value
print(df_output)

return rolling_mean, rolling_std

# Call the stationarity_test function with your time series


rolling_mean, rolling_std = stationarity_test(timeseries)

Results of Dickey-Fuller Test


Test Statistic 0.815369
p-value 0.991880
#Lags Used 13.000000
Number of Observations Used 130.000000
Critical Value (1%) -3.481682
Critical Value (5%) -2.884042
Critical Value (10%) -2.578770

6
dtype: float64

3 Convert Non-Stationary Data to Stationary Data


3.1 Differencing
[44]: from statsmodels.tsa.stattools import adfuller

df_diff = df.diff(periods=1) # First-order differencing

# Plot differenced time series


plt.xlabel('Years')
plt.ylabel('No of Air Passengers')
plt.title('Convert Non-Stationary Data to Stationary Data using Differencing')
plt.plot(df_diff)

[44]: [<matplotlib.lines.Line2D at 0x7d9301531900>,


<matplotlib.lines.Line2D at 0x7d93013799f0>]

[46]: # Drop NA values


df_diff.dropna(inplace=True)

7
# Perform the Dickey-Fuller test on a specific column, e.g., 'Passengers'
column_name = 'Passengers'
stationarity_test(df_diff[column_name])

Results of Dickey-Fuller Test


Test Statistic -2.833426
p-value 0.053655
#Lags Used 12.000000
Number of Observations Used 129.000000
Critical Value (1%) -3.482088
Critical Value (5%) -2.884219
Critical Value (10%) -2.578864
dtype: float64

[46]: (Month
1949-03-01 NaN
1949-04-01 NaN
1949-05-01 NaN
1949-06-01 NaN
1949-07-01 NaN
…
1960-08-01 3.916667
1960-09-01 3.750000

8
1960-10-01 4.500000
1960-11-01 2.333333
1960-12-01 2.250000
Name: Passengers, Length: 142, dtype: float64,
Month
1949-03-01 NaN
1949-04-01 NaN
1949-05-01 NaN
1949-06-01 NaN
1949-07-01 NaN
…
1960-08-01 53.364030
1960-09-01 53.706483
1960-10-01 52.852281
1960-11-01 55.531045
1960-12-01 55.465182
Name: Passengers, Length: 142, dtype: float64)

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