Time Series Classification Synthetic vs Real Financial Time Series – Part III

See Part I and Part II in this article for instructions from Matthew Smith on which R packages and data sets you need.

I next calculate the Durbin-Watson statistic. I mostly code using R’s tidy data principles and therefore use the tidy function from the broom package to tidy the output of the DW statistic up a little. I do this for both the synthetic time series and real time series.

# I calculate the Durbin-Watson statistic and use the "tidy()" function to summarise the key info

dw_test_class_zero <- df %>%
dplyr::filter(class == 0) %>%
nest(-row_id) %>%
mutate(dw_res = map(data, ~ broom::tidy(lmtest::dwtest(value ~ 1, data = .x)))) %>%
unnest(dw_res) %>%
mutate(class = “0”)

dw_test_class_zero %>%
head()

## # A tibble: 6 x 7
## row_id data statistic p.value method alternative class
##
## 1 1 [260 x 4] 1.98 0.426 Durbin-Wat~ true autocorrelation ~ 0
## 2 2 [260 x 4] 2.01 0.521 Durbin-Wat~ true autocorrelation ~ 0
## 3 4 [260 x 4] 2.08 0.747 Durbin-Wat~ true autocorrelation ~ 0
## 4 5 [260 x 4] 2.49 1.000 Durbin-Wat~ true autocorrelation ~ 0
## 5 6 [260 x 4] 1.90 0.214 Durbin-Wat~ true autocorrelation ~ 0
## 6 9 [260 x 4] 1.87 0.138 Durbin-Wat~ true autocorrelation ~ 0

# Here I do the exact same thing as above but this time for the class == 1 data.

dw_test_class_one <- df %>%
filter(class == 1) %>%
nest(-row_id) %>%
mutate(dw_res = map(data, ~ broom::tidy(lmtest::dwtest(value ~ 1, data = .x)))) %>%
unnest(dw_res) %>%
mutate(class = “1”)

dw_test_class_one %>%
head()

## # A tibble: 6 x 7
## row_id data statistic p.value method alternative class
##
## 1 3 [260 x 4] 2.08 0.728 Durbin-Wat~ true autocorrelation ~ 1
## 2 7 [260 x 4] 1.81 0.0654 Durbin-Wat~ true autocorrelation ~ 1
## 3 8 [260 x 4] 1.93 0.296 Durbin-Wat~ true autocorrelation ~ 1
## 4 13 [260 x 4] 2.05 0.644 Durbin-Wat~ true autocorrelation ~ 1
## 5 15 [260 x 4] 2.07 0.715 Durbin-Wat~ true autocorrelation ~ 1
## 6 16 [260 x 4] 2.07 0.709 Durbin-Wat~ true autocorrelation ~ 1

Next I plot the boxplot statistics for each of the Durbin Watson tests.

# I bind the rows together and plot a box-plot.

bind_rows(dw_test_class_zero, dw_test_class_one) %>%
group_by(class) %>%
ggplot(aes(x = factor(class), y = statistic, color = factor(class))) +
geom_boxplot(show.legend = FALSE) +
ggtitle(“Durbin Watson Box Plot Statistics”) +
xlab(“Class”) +
ylab(“Durbin Watson”) +
theme_tq()

Visit Matthew Smith – R Blog to see the next step in his analysis, which is to compute the 10 day rolling mean and standard deviation using the tq_mutate function from the tidyquant package.