Heinrich Hartmann

Digging Into R

Written on 2014-04-14

I was advised to use R for statistical analysis of time series data. This post documents my endeavor into the world of R from the very beginning until the first experiments with time series data.


Under Ubuntu Linux it was very simple to install R using apt-get cf. blog. Soon I decided to install the GUI RStudio, whose installation was also unproblematic.

Building from sources is also possible. First I used a GitHub clone of the SVN repository, but the build failed due to a missing .svn dir. Very strange. However the following the official docs worked for me on Ubuntu 12.04:

# install dependencies
sudo apt-get install libx11-dev libxt-dev x11proto-core-dev

svn checkout https://svn.r-project.org/R/trunk/ r-source
cd r-source

# download recommended packages

./configure --enable-R-shlib # shlib is used by RStudio
make info
sudo make install

First impression

I am used to programming in python and java so I started with reading R programming for programmers. The first thing to notice is that, the most important feature of any IDE: tab-completion is indeed suported by the R shell. However, the function oriented language design

a <- c(1,2,3)    # creates a `vector`
length(a)        # returns 3

makes interactive exploration of libraries very-hard. How do I know which of the hundreds of available function is applicable to the variable a?

On the plus side, I love that variable assignments have proper syntax. As a mathematician using = as an assigment operator has always felt utterly wrong. This sentiment is shared e.g. by D. Knuth, who also uses <- in his books.

A thing I found quiet amusing about R is that there seem to be equaly many articles describing flaws in the R language [2,3], than introductions and guides to the language. Of course I started reading flaws first.

One of the mayor differences of R to other programming languages is the absence of scalar data types. Everything is a vector.

typeof(1)        # > [1] "double", i.e. double vector
typeof(c(1))     # > [1] "double", i.e. double vector
1 == c(1)        # > TRUE

Another curiosity is the (ab)-use of the vector generation operator :

1:5             # > [1] 1 2 3 4 5, a list with 5 elements

So lists start with 1 and the end is inclusive. Seems good at first, but then the basic lentgh relation becomes a bit wired:

length(a:b) == b - a + 1

So in order to produce an empty list one has to use a:a-1, right? No:

1:1             # > [1] 1
1:0             # > [1] 1 0
1:-1            # > [1] 1 0 -1

When the sencond index is less than the first one, then the iteration goes backwards. So the length relation fails in edge cases. Lets make a test, and calculate:

length(0:a) for a = -5 .. 5

How do you do that using R? My first idea is to generate a list of lists, which contains 0:a for varying a. Is this possible in R? Can we have vectors of vectors?

c(c(1,2,3), c(4,5,6))  # > [1] 1 2 3 4 5 6

No. Nested vectors are flattend out! Ok, next try, lets use a function:

lengthOfArray <- function(a) { length(0:a) }
# > [0] 1

Good. Now lets map it to a vector:

sapply(-2:2, lengthOfArray)   # > [1] 3 2 1 2 3

Ok. This is not as bad as I would had thought. At least the length function has a simple regularity:

length(a:b) == abs(b - a) + 1

One problem with the approach is that sapply stands for simplified apply, and performes some simplifications which might depend on the input data, and can lead to subtle bugs.

As we have seen the sequence operator ‘:’ is problematic to use in programs and loops. The recommended pattern in this case is using the seq function:

seq(length=5)    # > [1] 1 2 3 4 5
seq(length=0)    # > [1] integer(0)  i.e. length 0 sequence
seq(0,length=5)  # > [1] 0 1 2 3 4   i.e. good ol C/Java arrays

Maybe an abreviation would be convenient:

iter <- function(n) seq(0,length=n)

Under the hood

We are following [6, Chap. 13].

R is an interpreted language using a read, parse, evaluate loop to evaluate expressions read from stdin. In R an expression is parsed into an object, which is then passed to the eval() function. The eval function returns the result of the evaluation as an object with is then printed to the output stream.

Evaluation and parsing can be separated using the quote and eval functions:

a <- 0
X =	quote(a <- 3)        # R object representation of expression
a                        # > [1] 0
eval(X)                  # Evaluate object
a                        # > [1] 3

So everyhing in R comes down to evalating objects. But what are objects?

Ideally I would like to have some lower level, detail about implementations of objects. Howver, lets look at some examples first:

R Data Structrures

Working with vectors

Let’s generate a vector with some numbers in it:

x <- -3:3

We can access individual parts of it via x[i] or to select ranges x[c(1,2)] or x[3:5]. We can filter x by boolean vectors:

x[c(F,T,F,T,F,T,F)]  # > [1] -2 0 2

If the index vector is shorter than the length of x than the vector indexing vector is repeated as often as necessary:

(0:9)[c(T,F)]            # > [1] 0 2 4 6 8

This is particularly powerful in combination with vectorized application of comparisons:


So that x[x > 0] selects the positive parts of the vector

x[x > 0] # > [1] 1 2 3.

The following examples shows all values that are far away from the average:

y <- x*x
y[y - mean(y) > sd(y)]

Data Frames

Data frame (data.frame) objects are essentially a list of vectors of the same length. It is the equivalent of a spreadsheet or database table in the R language. A predefined data.frame object is mtcars, containing information about a number of cars:

mtcars                    # shows a table view of the data.frame
class(mtcars)             # > [1] "data.frame"
colnames(mtcars)          # lists names of cloums
rownames(mtcars)          # list row names
mtcars$mpg                # vector containing mpg values

Data frames can be indexed like a matrix:

mtcars[1]                 # data.frame containing only first cloumn ('mpg')
mtcars[c('mpg','gear')]   # data.frame containing only two colums
mtcars['Valiant',]        # single row
mtcars[1:10,]             # slice of rows

Let’s create our own data frame:

df <- data.frame(x=1:3, y=c('a','b','c'), z=c(T,T,F))
with(df, x[z])            # load df into environment

Time Series Analysis with R

Importing data

Before we can start lets import some data. I have prepared some accelerometer data from my smartphone as tab separated values

x	y	z
-4.9433208	6.552774	5.5564456
-2.8357031	6.361172	6.935977
-2.9889846	6.591094	7.089258
-3.027305	6.246211	6.6677346
-3.2189064	6.361172	6.552774

Now let us import this file into R, by running:

ACC <- read.csv(file="acc.tsv", header=TRUE, sep="\t")

This gives us an data.frame object ACC in the environment. Let’s see what is in there: plot(ACC) give us a 3x3 matrix of plots.

Data frame objects are essentially a list of vectors of the same length.

colnames(ACC) # > [1] "x" "y" "z"

We can access the individual colums by their names ACC$x.

xyplot(x ~ y, data=ACC)

The with statement allows us to treat the colums as usual variables in arbitrary expressions:

with(ACC, {
	plot(c(0,length(x)), range(x,y,z) , type='n')  # no plotting
	lines(x, col='green');
	lines(y, col='blue');
	lines(z, col='red')

Reading from a database

We want to access more data stored on a local Postgres database. To do this we first install the R-postgres package


and connect to the the database

drv <- dbDriver("PostgreSQL")
con <- dbConnect(drv, host="localhost", port="5432",
	             dbname="test", user="test", password="test"
dbGetInfo(drv)  # no of db connections
summary(con)    # list basic info.

Now lets query some data from the connection:

rs <- dbSendQuery(con,"SELECT * FROM sensor_accelerometer WHERE trip_id = 209")
first_row <- fetch(rs, n=1)
class(first_row) # > [1] "data.frame"
ACC <- fetch(rs,n= -1)

Let’s write a convenience function to automate this process.

getACC <- function(id) {
	rs <- dbSendQuery(
            paste("SELECT * FROM sensor_accelerometer WHERE trip_id = ",id)
	fetch(rs, n=-1)
ACC <- getACC(863)

How much data did we fetch?

dim(ACC)  # > [1] 6356 5
nrow(ACC) # > [1] 6356
ncol(ACC) # > [1] 5

Lets do some subsampling before we plot the data:

SubACC <- ACC[c(T,F),]   # selects every second data point
dim(SubACC)              # > [1] 3178 5
with(SubACC, plot(x, type='l'))

# Random subsampling
SubACC <- ACC[sort(sample(nrow(ACC),50)),]
with(SubACC,plot(x, type='l'))

Lets plot the first few data points:

with(ACC[1:500,], plot(x), type='l'))

Quality control

How regular is our data sampled?

diff(ACC$ts)      # computes differences between time stamps

We see a bunch of numbers most of them are -5, this means our time series runs actually backwards. Moreover, we have several outliers with very big deviations going in both directions:


While this problem can actually be resolved in our db query, lets solve it here as well.

BCC <- ACC[order(ACC$ts),]

Furthermore, we see deviations from the expected value of 5:


We see a few data points with 20 and a maximal deviation of 50, this is not too bad, but we should apply some interploation to make up for this:

sample_count <- (max(BCC$ts) - min(BCC$ts))/5
interp <- function(v) approx(BCC$ts,v,n=sample_count)$y

CCC <- data.frame(ts=1:sample_count)
CCC$x <- interp(BCC$x)
CCC$y <- interp(BCC$y)
CCC$z <- interp(BCC$z)

Series operations

Lets prepare our data

s2 <- function(DF) with(DF, sqrt(x^2 + y^2 + z^2))
L <- s2(CCC) # length of ACC vector

Differencing and integration are readily defined

int <- diffinv
diff(int(L)) - L

Application of linear filters is easy as well:

plot_filter <- function(L,weights) {

norm <- function(a) {a / sum(a)}

# smooth signal with average of 100 values

# smooth signal with average of 100 values

Now lets compute the auto correlation to detect regularities

ACF <- acf(L,3000)

# find local maxima by chcking sing changes of the first derivative
lmax <- which(diff(sign(diff(ACF$acf)))==-2)
# > 253  502  752  868  884 1001

Time Series Objects

Now lets convert the data into a multivariate time series object

M <- with(CCC, cbind(x,y,z,L)) # matrix representation of CCC
TL <- ts(M,frequency=50)

plot(TL, plot.type='single', col=c('blue','green','red','grey'))

Now lets do a seasonal decomposistion of the time series

plot(stl(ts(L,frequency=253), s.window=1, t.window=100))

plot(stl(TL[,"L"], s.window=10, t.window=100))


  1. R programming for programmers
  2. Design flaws in R
  3. Patrick Burns - The R Inferno
  4. List of Ressources
  5. Online course for beginners.
  6. John Chambers - Software for Data Analysis
  7. http://adv-r.had.co.nz/Computing-on-the-language.html
  8. Little Book: R time series
  9. http://www.statmethods.net/advstats/timeseries.html
  10. Official docs
  11. Plotting guide