# Trend in irregular time series data

I have a dataset of water temperature measurements taken from a large waterbody at irregular intervals over a period of decades. (Galveston Bay, TX if you’re interested)

Here’s the head of the data:

  STATION_ID     DATE  TIME LATITUDE LONGITUDE YEAR MONTH DAY SEASON MEASUREMENT
1      13296  6/20/91 11:04 29.50889 -94.75806 1991     6  20 Summer        28.0
2      13296  3/17/92  9:30 29.50889 -94.75806 1992     3  17 Spring        20.1
3      13296  9/23/91 11:24 29.50889 -94.75806 1991     9  23   Fall        26.0
4      13296  9/23/91 11:24 29.50889 -94.75806 1991     9  23   Fall        26.0
5      13296  6/20/91 11:04 29.50889 -94.75806 1991     6  20 Summer        28.0
6      13296 12/17/91 10:15 29.50889 -94.75806 1991    12  17 Winter        13.0


(MEASUREMENT is the temperature measurement of interest.)

The full set is available here: https://github.com/jscarlton/galvBayData/blob/master/gbtemp.csv

I would like to remove the effects of seasonal variation to observe the trend (if any) in the temperature over time. Is a time series decomposition the best way to do this? How do I handle the fact that the measurements were not taken at a regular interval? I'm hoping there is an R package for this type of analysis, though Python or Stata would be fine, too.

(Note: for this analysis, I’m choosing to ignore the spatial variability in the measurements. Ideally, I’d account for that as well, but I think that doing so would be hopelessly complex.)

Rather than try to decompose the time series explicitly, I would instead suggest that you model the data spatio-temporally because, as you'll see below, the long-term trend likely varies spatially, the seasonal trend varies with the long-term trend and spatially.

I have found that generalised additive models (GAMs) are a good model for fitting irregular time series such as you describe.

Below I illustrate a quick model I prepared for the full data of the following form

\begin{align} \begin{split} \mathrm{E}(y_i) & = \alpha + f_1(\text{ToD}_i) + f_2(\text{DoY}_i) + f_3(\text{Year}_i) + f_4(\text{x}_i, \text{y}_i) + \\ & \quad f_5(\text{DoY}_i, \text{Year}_i) + f_6(\text{x}_i, \text{y}_i, \text{ToD}_i) + \\ & \quad f_7(\text{x}_i, \text{y}_i, \text{DoY}_i) + f_8(\text{x}_i, \text{y}_i, \text{Year}_i) \end{split} \end{align}

where

• $\alpha$ is the model intercept,
• $f_1(\text{ToD}_i)$ is a smooth function of time of day,
• $f_2(\text{DoY}_i)$ is a smooth function of day of year ,
• $f_3(\text{Year}_i)$ is a smooth function of year,
• $f_4(\text{x}_i, \text{y}_i)$ is a 2D smooth of longitude and latitude,
• $f_5(\text{DoY}_i, \text{Year}_i)$ is a tensor product smooth of day of year and year,
• $f_6(\text{x}_i, \text{y}_i, \text{ToD}_i)$ tensor product smooth of location & time of day
• $f_7(\text{x}_i, \text{y}_i, \text{DoY}_i)$ tensor product smooth of location day of year&
• $f_8(\text{x}_i, \text{y}_i, \text{Year}_i$ tensor product smooth of location & year

Effectively, the first four smooths are the main effects of

1. time of day,
2. season,
3. long-term trend,
4. spatial variation

whilst the remaining four tensor product smooths model smooth interactions between the stated covariates, which model

1. how the seasonal pattern of temperature varies over time,
2. how the time of day effect varies spatially,
3. how the seasonal effect varies spatially, and
4. how the long-term trend varies spatially

The data are loaded into R and massaged a bit with the following code

library('mgcv')
library('ggplot2')
library('viridis')
theme_set(theme_bw())
library('gganimate')

galveston <- transform(galveston,
datetime = as.POSIXct(paste(DATE, TIME),
format = '%m/%d/%y %H:%M', tz = "CDT"))
galveston <- transform(galveston,
STATION_ID = factor(STATION_ID),
DoY = as.numeric(format(datetime, format = '%j')),
ToD = as.numeric(format(datetime, format = '%H')) +
(as.numeric(format(datetime, format = '%M')) / 60))


The model itself is fitted using the bam() function which is designed for fitting GAMs to larger data sets such as this. You can use gam() for this model also, but it will take somewhat longer to fit.

knots <- list(DoY = c(0.5, 366.5))
M <- list(c(1, 0.5), NA)
m <- bam(MEASUREMENT ~
s(ToD, k = 10) +
s(DoY, k = 30, bs = 'cc') +
s(YEAR, k = 30) +
s(LONGITUDE, LATITUDE, k = 100, bs = 'ds', m = c(1, 0.5)) +
ti(DoY, YEAR, bs = c('cc', 'tp'), k = c(15, 15)) +
ti(LONGITUDE, LATITUDE, ToD, d = c(2,1), bs = c('ds','tp'),
m = M, k = c(20, 10)) +
ti(LONGITUDE, LATITUDE, DoY, d = c(2,1), bs = c('ds','cc'),
m = M, k = c(25, 15)) +
ti(LONGITUDE, LATITUDE, YEAR, d = c(2,1), bs = c('ds','tp'),
m = M), k = c(25, 15)),
data = galveston, method = 'fREML', knots = knots,
nthreads = 4, discrete = TRUE)


The s() terms are the main effects, whilst the ti() terms are tensor product interaction smooths where the main effects of the named covariates have been removed from the basis. These ti() smooths are a way to include interactions of the stated variables in a numerically stable way.

The knots object is just setting the endpoints of the cyclic smooth I used for the day of year effect — we want 23:59 on Dec 31st to join up smoothly with 00:01 Jan 1st. This accounts to some extent for leap years.

The model summary indicates all these effects are significant;

> summary(m)

Family: gaussian

Formula:
MEASUREMENT ~ s(ToD, k = 10) + s(DoY, k = 12, bs = "cc") + s(YEAR,
k = 30) + s(LONGITUDE, LATITUDE, k = 100, bs = "ds", m = c(1,
0.5)) + ti(DoY, YEAR, bs = c("cc", "tp"), k = c(12, 15)) +
ti(LONGITUDE, LATITUDE, ToD, d = c(2, 1), bs = c("ds", "tp"),
m = list(c(1, 0.5), NA), k = c(20, 10)) + ti(LONGITUDE,
LATITUDE, DoY, d = c(2, 1), bs = c("ds", "cc"), m = list(c(1,
0.5), NA), k = c(25, 12)) + ti(LONGITUDE, LATITUDE, YEAR,
d = c(2, 1), bs = c("ds", "tp"), m = list(c(1, 0.5), NA),
k = c(25, 15))

Parametric coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 21.75561    0.07508   289.8   <2e-16 ***
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Approximate significance of smooth terms:
edf  Ref.df        F  p-value
s(ToD)                        3.036   3.696    5.956 0.000189 ***
s(DoY)                        9.580  10.000 3520.098  < 2e-16 ***
s(YEAR)                      27.979  28.736   59.282  < 2e-16 ***
s(LONGITUDE,LATITUDE)        54.555  99.000    4.765  < 2e-16 ***
ti(DoY,YEAR)                131.317 140.000   34.592  < 2e-16 ***
ti(ToD,LONGITUDE,LATITUDE)   42.805 171.000    0.880  < 2e-16 ***
ti(DoY,LONGITUDE,LATITUDE)   83.277 240.000    1.225  < 2e-16 ***
ti(YEAR,LONGITUDE,LATITUDE)  84.862 329.000    1.101  < 2e-16 ***
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

R-sq.(adj) =   0.94   Deviance explained = 94.2%
fREML =  29807  Scale est. = 2.6318    n = 15276


A more careful analysis would want to check if we need all these interactions; some of the spatial ti() terms explain only small amounts of variation in the data, as indicated by the $F$ statistic; there's a lot of data here so even small effect sizes may be statistically significant but uninteresting.

As a quick check, however, removing the three spatial ti() smooths (m.sub), results in a significantly poorer fit as assessed by AIC:

> AIC(m, m.sub)
df      AIC
m     447.5680 58583.81
m.sub 239.7336 59197.05


We can plot the partial effects of the first five smooths using the plot() method — the 3D tensor product smooths can't be plotted easily and not by default.

plot(m, pages = 1, scheme = 2, shade = TRUE, scale = 0)


The scale = 0 argument there puts all the plots on their own scale, to compare the magnitudes of the effects, we can turn this off:

plot(m, pages = 1, scheme = 2, shade = TRUE)


Now we can see that the seasonal effect dominates. The long-term trend (on average) is shown in the upper right plot. To really look at the long-term trend however, you need to pick a station and then predict from the model for that station, fixing time of day and day of year to some representative values (midday, for a day of the year in summer say). There early year or two of the series has some low temperature values relative to the rest of the records, which is likely being picked up in all the smooths involving YEAR. These data should be looked at more closely.

This isn't really the place to get into that, but here are a couple of visualisations of the model fits. First I look at the spatial pattern of temperature and how it varies over the years of the series. To do that I predict from the model for a 100x100 grid over the spatial domain, at midday on day 180 of each year:

pdata <- with(galveston,
expand.grid(ToD = 12,
DoY = 180,
YEAR = seq(min(YEAR), max(YEAR), by = 1),
LONGITUDE = seq(min(LONGITUDE), max(LONGITUDE), length = 100),
LATITUDE  = seq(min(LATITUDE), max(LATITUDE), length = 100)))
fit <- predict(m, pdata)


then I set to missing, NA, the predicted values fit for all data points that lie some distance from the observations (proportional; dist)

ind <- exclude.too.far(pdata$LONGITUDE, pdata$LATITUDE,
galveston$LONGITUDE, galveston$LATITUDE, dist = 0.1)
fit[ind] <- NA


and join the predictions to the prediction data

pred <- cbind(pdata, Fitted = fit)


Setting predicted values to NA like this stops us extrapolating beyond the support of the data.

Using ggplot2

ggplot(pred, aes(x = LONGITUDE, y = LATITUDE)) +
geom_raster(aes(fill = Fitted)) + facet_wrap(~ YEAR, ncol = 12) +
scale_fill_viridis(name = expression(degree*C), option = 'plasma',
na.value = 'transparent') +
coord_quickmap() +
theme(legend.position = 'top', legend.key.width = unit(2, 'cm'))


we obtain the following

We can see the year-to-year variation in temperatures in a bit more detail if we animate rather than facet the plot

p <- ggplot(pred, aes(x = LONGITUDE, y = LATITUDE, frame = YEAR)) +
geom_raster(aes(fill = Fitted)) +
scale_fill_viridis(name = expression(degree*C), option = 'plasma',
na.value = 'transparent') +
coord_quickmap() +
theme(legend.position = 'top', legend.key.width = unit(2, 'cm'))+
labs(x = 'Longitude', y = 'Latitude')

gganimate(p, 'galveston.gif', interval = .2, ani.width = 500, ani.height = 800)


To look at the long-term trends in more detail, we can predict for particular stations. For example, for STATION_ID 13364 and predicting for days in the four quarters, we might use the following to prepare values of the covariates we want to predict at (midday, on day of year 1, 90, 180, and 270, at the selected station, and evaluating the long-term trend at 500 equally spaced values)

pdata <- with(galveston,
expand.grid(ToD = 12,
DoY = c(1, 90, 180, 270),
YEAR = seq(min(YEAR), max(YEAR), length = 500),
LONGITUDE = -94.8751,
LATITUDE  = 29.50866))


Then we predict and ask for standard errors, to form an approximate pointwise 95% confidence interval

fit <- data.frame(predict(m, newdata = pdata, se.fit = TRUE))
fit <- transform(fit, upper = fit + (2 * se.fit), lower = fit - (2 * se.fit))
pred <- cbind(pdata, fit)


which we plot

ggplot(pred, aes(x = YEAR, y = fit, group = factor(DoY))) +
geom_ribbon(aes(ymin = lower, ymax = upper), fill = 'grey', alpha = 0.5) +
geom_line() + facet_wrap(~ DoY, scales = 'free_y') +
labs(x = NULL, y = expression(Temperature ~ (degree * C)))


producing

Obviously, there's a lot more to modelling these data than what I show here, and we'd want to check for residual autocorrelation and overfitting of the splines, but approaching the problem as one of modelling the features of the data allows for a more detailed examination of the trends.

You could of course just model each STATION_ID separately, but that would throw away data, and many stations have few observations. Here the model borrows from all the station information to fill in the gaps and assist in estimating the trends of interest.

### Some notes on bam()

The bam() model is using all of mgcv's tricks to estimate the model quickly (multiple threads 4), fast REML smoothness selection (method = 'fREML'), and discretization of covariates. With these options turned on the model fits in less than a minute on my 2013-era dual 4-core Xeon workstation with 64Gb of RAM.

You could just use the function decompose which separates your time series in three components, trend, seasonal and random. You can also extract the different values from the outcome and plot them. Make sure that you define your data as a time series. The function stl is basically doing the same but gives you more flexibility in how you can decompose your data.

I also recomend the following website

https://www.otexts.org/fpp/6

Does this help?

• Thanks for the answer. I'm looking through the website now. The challenge is this: there are gaps in the data lasting months or even entire seasons where they didn't collect any data, which makes it hard for me to get my head around how to deal with the changing time window. – griseus Nov 3 '16 at 20:08

One option would be to use a regression strategy which treats your data as draws from a continuous underlying function (see discussion here: Is there any gold standard for modeling irregularly spaced time series?). From there you could use a method like Singular Spectrum Analysis to decompose the signal (for R: https://cran.r-project.org/web/packages/Rssa/index.html).