[R] irregular time series prediction

jfontain@free.fr jfontain at free.fr
Wed Sep 7 12:19:58 CEST 2005


This is my first post, so allow me to introduce myself.

But first, I'd like to thank all the authors and contributors to the R software,
as I think that it is truly a great and very useful package.

I am the author of moodss, a GPL modular monitoring application
(http://moodss.sourceforge.net). Moodss collects, archives in a SQL database
and displays data from monitored devices, mostly computers, databases and
network equipment.

My idea is to use the stored data to perform predictions for capacity planning
purposes. For example, based on the trafic on a network line for the last 12
months, what is the expected evolution in the next 3 months.

Since there is no guarantee that the data samples are regularly spaced in time,
I was thinking of using the "its" package for a start.
But data samples, most of the time, are roughly regularly spaced. For example,
the monitored network device could return data every 10 seconds, but sometimes
at 11 seconds or 9 seconds after the last sample. So another idea would be to
normalize the data (by interpolation maybe) to make it a regular time series as
a first step.

All I need from you at this time is to point me in the right direction, maybe
suggest resources on the web about this subject applied to R, knowing that I
would prefer to use only R base packages if possible.

I apologize if this is a trivial question, but last time I studied statistics
was more than 20 years ago, so I need a little time to warm up...

Many thanks in advance,


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