Add many holiday features to the data
Quickly add the "holiday signature" - sets of holiday features that correspond
to calendar dates. Works with dplyr groups too.
tk_augment_holiday_signature(
.data,
.date_var = NULL,
.holiday_pattern = ".",
.locale_set = c("all", "none", "World", "US", "CA", "GB", "FR", "IT", "JP", "CH",
"DE"),
.exchange_set = c("all", "none", "NYSE", "LONDON", "NERC", "TSX", "ZURICH")
).data |
A time-based tibble or time-series object. |
.date_var |
A column containing either date or date-time values.
If |
.holiday_pattern |
A regular expression pattern to search the "Holiday Set". |
.locale_set |
Return binary holidays based on locale. One of: "all", "none", "World", "US", "CA", "GB", "FR", "IT", "JP", "CH", "DE". |
.exchange_set |
Return binary holidays based on Stock Exchange Calendars. One of: "all", "none", "NYSE", "LONDON", "NERC", "TSX", "ZURICH". |
tk_augment_holiday_signature adds the holiday signature
features. See tk_get_holiday_signature() (powers the augment function)
for a full description and examples for how to use.
1. Individual Holidays
These are single holiday features that can be filtered using a pattern. This helps in identifying which holidays are important to a machine learning model. This can be useful for example in e-commerce initiatives (e.g. sales during Christmas and Thanskgiving).
2. Locale-Based Summary Sets
Locale-based holdiay sets are useful for e-commerce initiatives (e.g. sales during Christmas and Thanskgiving). Filter on a locale to identify all holidays in that locale.
3. Stock Exchange Calendar Summary Sets
Exchange-based holdiay sets are useful for identifying non-working days. Filter on an index to identify all holidays that are commonly non-working.
Returns a tibble object describing the holiday timeseries.
Augment Operations:
tk_augment_timeseries_signature() - Group-wise augmentation of timestamp features
tk_augment_holiday_signature() - Group-wise augmentation of holiday features
tk_augment_slidify() - Group-wise augmentation of rolling functions
tk_augment_lags() - Group-wise augmentation of lagged data
tk_augment_differences() - Group-wise augmentation of differenced data
tk_augment_fourier() - Group-wise augmentation of fourier series
Underlying Function:
tk_get_holiday_signature() - Underlying function that powers holiday feature generation
library(dplyr)
library(timetk)
dates_in_2017_tbl <- tibble(index = tk_make_timeseries("2017-01-01", "2017-12-31", by = "day"))
# Non-working days in US due to Holidays using NYSE stock exchange calendar
dates_in_2017_tbl %>%
tk_augment_holiday_signature(
index,
.holiday_pattern = "^$", # Returns nothing on purpose
.locale_set = "none",
.exchange_set = "NYSE")
# All holidays in US
dates_in_2017_tbl %>%
tk_augment_holiday_signature(
index,
.holiday_pattern = "US_",
.locale_set = "US",
.exchange_set = "none")
# All holidays for World and Italy-specific Holidays
# - Note that Italy celebrates specific holidays in addition to many World Holidays
dates_in_2017_tbl %>%
tk_augment_holiday_signature(
index,
.holiday_pattern = "(World)|(IT_)",
.locale_set = c("World", "IT"),
.exchange_set = "none")Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.