config-i1/m4

Data and stuff for M4 competition

M4

Data and stuff for M4 competition

The data is located in data folder and can be loaded via:

load("data/M4.Rdata")

This will load M4 object, which is the list of length 100,000. It is of a class "Mcomp" and has the same structure as M3:

• M4[[12345]] is the list with specific values for a time series N12345
• M4[[12345]]$x is the actual values for the in-sample
• M4[[12345]]$xx is the holdout (last h observations)
• M4[[12345]]$h is the forecasting horizon
• M4[[12345]]$n is the length of the series
• M4[[12345]]$st is the name of series. e.g. "Y12345"
• M4[[12345]]$sn is the serial number of series. e.g. "N12345"
• M4[[12345]]$period is the seasonality type of data ("YEARLY", "QUARTERLY" etc).
• M4[[12345]]$type is the type of data ("INDUSTRIAL", "MICRO" etc)

The frequency of data can be accessed via frequency(M4[[12345]]$x)

Have a look at the general structure by typing:

library(Mcomp) M4

All the methods for M3 work in case of M4 out of the box:

plot(M4[[12345]])

smooth functions can be applied directly:

library(smooth)

es(M4[[12345]], silent=F)

If you need a specific subset (e.g. quarterly data), you can use subset() function from Mcomp package:

M4Q <- subset(M4, "QUARTERLY")

Types of data:

1. YEARLY;
2. QUARTERLY;
3. MONTHLY;
4. WEEKLY;
5. DAILY;
6. HOURLY