How to Create a R TimeSeries for Hourly data

Question

I have hourly snapshot of an event starting from 2012-05-15-0700 to 2013-05-17-1800. How can I create a Timeseries on this data and perform HoltWinters to it?

I tried the following

EventData<-ts(Eventmatrix$X20030,start=c(2012,5,15),frequency=8000) 
HoltWinters(EventData)

But I got Error in decompose(ts(x[1L:wind], start = start(x), frequency = f), seasonal) : time series has no or less than 2 periods

What value should I put from Frequency?

This post and this answer by Hyndman explains which frequency you should choose. Instead of using xts as suggested by @dickoa, you can also use the msts function/object from theforecastpackage, with the added benefit, that it allows you to specify multiple seasons/cycles. The package also includes a function hw which is convenient wrapper function for forecast(ets(...)). — bonna

dickoa dickoa · Accepted Answer · 2013-06-17T20:37:50

I think you should consider using ets from the package forecast to perform exponential smoothing. Read this post to have a comparison between HoltWinters and ets .

require(xts)
require(forecast)

time_index <- seq(from = as.POSIXct("2012-05-15 07:00"), 
                  to = as.POSIXct("2012-05-17 18:00"), by = "hour")
set.seed(1)
value <- rnorm(n = length(time_index))

eventdata <- xts(value, order.by = time_index)
ets(eventdata)

Now if you want to know more about the syntax of ets check the help of this function and the online book of Rob Hyndman (Chap 7 section 6)

How to Create a R TimeSeries for Hourly data

2 Answers