xts-处理高频时间序列数据

Dongbei University of Finance & Economics

加载经常用的R包

library(pacman)
# 读数据
p_load(readxl,writexl,data.table,openxlsx,haven,rvest)

# 数据探索
p_load(tidyverse,DT,skimr,DataExplorer,explore,vtable,stringr,lubridate)

# 模型
p_load(tidyverse,grf,glmnet,caret,tidytext,fpp2,forecast,car,tseries,hdm,tidymodels,broom)

# 可视化
p_load(patchwork,ggrepel,ggcorrplot,gghighlight,ggthemes,shiny)

# 其它常用包
p_load(magrittr,listviewer,devtools,here,janitor,reticulate,jsonlite)

p_load(printr,xts)

xts包

data("sample_matrix",package = "xts")
sample_matrix %>% datatable()

sample_matrix %>% class()

## [1] "matrix"

matrix_xts <- as.xts(sample_matrix,dateFormat = "Date")
matrix_xts %>% datatable()

matrix_xts %>% class()

## [1] "xts" "zoo"

xts(1:10,Sys.Date() + 1:10)

##            [,1]
## 2020-05-28    1
## 2020-05-29    2
## 2020-05-30    3
## 2020-05-31    4
## 2020-06-01    5
## 2020-06-02    6
## 2020-06-03    7
## 2020-06-04    8
## 2020-06-05    9
## 2020-06-06   10

xts(1:10,Sys.Date() + 1:10) %>% class()

## [1] "xts" "zoo"

提取数据

matrix_xts %>% head()

##                Open     High      Low    Close
## 2007-01-02 50.03978 50.11778 49.95041 50.11778
## 2007-01-03 50.23050 50.42188 50.23050 50.39767
## 2007-01-04 50.42096 50.42096 50.26414 50.33236
## 2007-01-05 50.37347 50.37347 50.22103 50.33459
## 2007-01-06 50.24433 50.24433 50.11121 50.18112
## 2007-01-07 50.13211 50.21561 49.99185 49.99185

提取一个特定的日期

matrix_xts["2007-01-02"]

##                Open     High      Low    Close
## 2007-01-02 50.03978 50.11778 49.95041 50.11778

提取整个三月份

matrix_xts["2007-03"]

##                Open     High      Low    Close
## 2007-03-01 50.81620 50.81620 50.56451 50.57075
## 2007-03-02 50.60980 50.72061 50.50808 50.61559
## 2007-03-03 50.73241 50.73241 50.40929 50.41033
## 2007-03-04 50.39273 50.40881 50.24922 50.32636
## 2007-03-05 50.26501 50.34050 50.26501 50.29567
## 2007-03-06 50.27464 50.32019 50.16380 50.16380
## 2007-03-07 50.14458 50.20278 49.91381 49.91381
## 2007-03-08 49.93149 50.00364 49.84893 49.91839
## 2007-03-09 49.92377 49.92377 49.74242 49.80712
## 2007-03-10 49.79370 49.88984 49.70385 49.88698
## 2007-03-11 49.83062 49.88295 49.76031 49.78806
## 2007-03-12 49.82763 49.90311 49.67049 49.74033
## 2007-03-13 49.69628 49.70863 49.37924 49.37924
## 2007-03-14 49.36270 49.53735 49.30746 49.53735
## 2007-03-15 49.57374 49.62310 49.39876 49.49600
## 2007-03-16 49.44900 49.65285 49.42416 49.59500
## 2007-03-17 49.55666 49.55666 49.33564 49.34714
## 2007-03-18 49.29778 49.67857 49.29778 49.65463
## 2007-03-19 49.62747 49.65407 49.51604 49.54590
## 2007-03-20 49.59529 49.62003 49.42321 49.50690
## 2007-03-21 49.49765 49.53961 49.41610 49.51807
## 2007-03-22 49.42306 49.42306 49.31184 49.39687
## 2007-03-23 49.27281 49.27281 48.93095 48.93095
## 2007-03-24 48.86635 48.86635 48.52684 48.52684
## 2007-03-25 48.50649 48.50649 48.33409 48.33973
## 2007-03-26 48.34210 48.44637 48.28969 48.28969
## 2007-03-27 48.25248 48.41572 48.23648 48.30851
## 2007-03-28 48.33090 48.53595 48.33090 48.53595
## 2007-03-29 48.59236 48.69988 48.57432 48.69988
## 2007-03-30 48.74562 49.00218 48.74562 48.93546
## 2007-03-31 48.95616 49.09728 48.95616 48.97490

提取2007年数据

matrix_xts["2007"]

##                Open     High      Low    Close
## 2007-01-02 50.03978 50.11778 49.95041 50.11778
## 2007-01-03 50.23050 50.42188 50.23050 50.39767
## 2007-01-04 50.42096 50.42096 50.26414 50.33236
## 2007-01-05 50.37347 50.37347 50.22103 50.33459
## 2007-01-06 50.24433 50.24433 50.11121 50.18112
## 2007-01-07 50.13211 50.21561 49.99185 49.99185
## 2007-01-08 50.03555 50.10363 49.96971 49.98806
## 2007-01-09 49.99489 49.99489 49.80454 49.91333
## 2007-01-10 49.91228 50.13053 49.91228 49.97246
## 2007-01-11 49.88529 50.23910 49.88529 50.23910
## 2007-01-12 50.21258 50.35980 50.17176 50.28519
## 2007-01-13 50.32385 50.48000 50.32385 50.41286
## 2007-01-14 50.46359 50.62395 50.46359 50.60145
## 2007-01-15 50.61724 50.68583 50.47359 50.48912
## 2007-01-16 50.62024 50.73731 50.56627 50.67835
## 2007-01-17 50.74150 50.77336 50.44932 50.48644
## 2007-01-18 50.48051 50.60712 50.40269 50.57632
## 2007-01-19 50.41381 50.55627 50.41278 50.41278
## 2007-01-20 50.35323 50.35323 50.02142 50.02142
## 2007-01-21 50.16188 50.42090 50.16044 50.42090
## 2007-01-22 50.36008 50.43875 50.21129 50.21129
## 2007-01-23 50.03966 50.16961 50.03670 50.16961
## 2007-01-24 50.10953 50.26942 50.06387 50.23145
## 2007-01-25 50.20738 50.28268 50.12913 50.24334
## 2007-01-26 50.16008 50.16008 49.94052 50.07024
## 2007-01-27 50.06041 50.09777 49.97267 50.01091
## 2007-01-28 49.96586 50.00217 49.87468 49.88096
## 2007-01-29 49.85624 49.93038 49.76308 49.91875
## 2007-01-30 49.85477 50.02180 49.77242 50.02180
## 2007-01-31 50.07049 50.22578 50.07049 50.22578
## 2007-02-01 50.22448 50.41376 50.19101 50.35784
## 2007-02-02 50.44503 50.53490 50.36064 50.36928
## 2007-02-03 50.37219 50.46912 50.29880 50.43109
## 2007-02-04 50.48183 50.55509 50.40203 50.55509
## 2007-02-05 50.52389 50.69783 50.45977 50.69783
## 2007-02-06 50.71661 50.71661 50.49865 50.49865
## 2007-02-07 50.49322 50.69693 50.49322 50.60611
## 2007-02-08 50.58531 50.84734 50.58531 50.81383
## 2007-02-09 50.83331 50.89683 50.67686 50.67686
## 2007-02-10 50.68923 50.72696 50.60707 50.69562
## 2007-02-11 50.67849 50.91776 50.67849 50.91160
## 2007-02-12 50.88990 50.96653 50.83604 50.96653
## 2007-02-13 50.90056 51.00299 50.87935 50.90106
## 2007-02-14 50.95283 51.04699 50.80317 51.04699
## 2007-02-15 51.06330 51.11401 50.94681 51.05185
## 2007-02-16 51.12879 51.12879 51.00613 51.02164
## 2007-02-17 50.97722 51.13653 50.95260 51.13653
## 2007-02-18 51.18414 51.32090 51.13713 51.15151
## 2007-02-19 51.29502 51.32342 51.13524 51.17899
## 2007-02-20 51.13725 51.14940 50.93523 50.93523
## 2007-02-21 50.92940 50.92940 50.69880 50.77325
## 2007-02-22 50.72111 50.86597 50.65718 50.86597
## 2007-02-23 50.84392 50.96946 50.73060 50.76498
## 2007-02-24 50.78360 50.86453 50.76692 50.79534
## 2007-02-25 50.78960 50.93187 50.78960 50.84776
## 2007-02-26 50.88168 50.88168 50.75481 50.75481
## 2007-02-27 50.74333 50.78909 50.61874 50.69206
## 2007-02-28 50.69435 50.77091 50.59881 50.77091
## 2007-03-01 50.81620 50.81620 50.56451 50.57075
## 2007-03-02 50.60980 50.72061 50.50808 50.61559
## 2007-03-03 50.73241 50.73241 50.40929 50.41033
## 2007-03-04 50.39273 50.40881 50.24922 50.32636
## 2007-03-05 50.26501 50.34050 50.26501 50.29567
## 2007-03-06 50.27464 50.32019 50.16380 50.16380
## 2007-03-07 50.14458 50.20278 49.91381 49.91381
## 2007-03-08 49.93149 50.00364 49.84893 49.91839
## 2007-03-09 49.92377 49.92377 49.74242 49.80712
## 2007-03-10 49.79370 49.88984 49.70385 49.88698
## 2007-03-11 49.83062 49.88295 49.76031 49.78806
## 2007-03-12 49.82763 49.90311 49.67049 49.74033
## 2007-03-13 49.69628 49.70863 49.37924 49.37924
## 2007-03-14 49.36270 49.53735 49.30746 49.53735
## 2007-03-15 49.57374 49.62310 49.39876 49.49600
## 2007-03-16 49.44900 49.65285 49.42416 49.59500
## 2007-03-17 49.55666 49.55666 49.33564 49.34714
## 2007-03-18 49.29778 49.67857 49.29778 49.65463
## 2007-03-19 49.62747 49.65407 49.51604 49.54590
## 2007-03-20 49.59529 49.62003 49.42321 49.50690
## 2007-03-21 49.49765 49.53961 49.41610 49.51807
## 2007-03-22 49.42306 49.42306 49.31184 49.39687
## 2007-03-23 49.27281 49.27281 48.93095 48.93095
## 2007-03-24 48.86635 48.86635 48.52684 48.52684
## 2007-03-25 48.50649 48.50649 48.33409 48.33973
## 2007-03-26 48.34210 48.44637 48.28969 48.28969
## 2007-03-27 48.25248 48.41572 48.23648 48.30851
## 2007-03-28 48.33090 48.53595 48.33090 48.53595
## 2007-03-29 48.59236 48.69988 48.57432 48.69988
## 2007-03-30 48.74562 49.00218 48.74562 48.93546
## 2007-03-31 48.95616 49.09728 48.95616 48.97490
## 2007-04-01 48.94407 48.97816 48.80962 48.87032
## 2007-04-02 48.90488 49.08400 48.90488 49.06316
## 2007-04-03 49.06071 49.24525 48.96928 49.24525
## 2007-04-04 49.22579 49.37335 49.19913 49.34736
## 2007-04-05 49.41435 49.41435 49.30641 49.33776
## 2007-04-06 49.33621 49.41900 49.33621 49.41900
## 2007-04-07 49.45170 49.60950 49.45170 49.53819
## 2007-04-08 49.54338 49.58968 49.41806 49.41806
## 2007-04-09 49.44429 49.50234 49.33828 49.50234
## 2007-04-10 49.55704 49.78776 49.55704 49.76984
## 2007-04-11 49.74550 49.81925 49.74550 49.74623
## 2007-04-12 49.75079 49.75470 49.61732 49.72996
## 2007-04-13 49.70708 49.85332 49.69245 49.73339
## 2007-04-14 49.74154 49.77340 49.70159 49.75552
## 2007-04-15 49.74707 49.79341 49.66299 49.70942
## 2007-04-16 49.74915 49.86289 49.71091 49.83886
## 2007-04-17 49.84698 49.95456 49.77754 49.95456
## 2007-04-18 49.93794 50.07208 49.92484 50.07208
## 2007-04-19 50.02441 50.02991 49.83945 49.83945
## 2007-04-20 49.76042 49.92847 49.69808 49.91103
## 2007-04-21 49.98954 50.20123 49.98954 50.20123
## 2007-04-22 50.31203 50.33781 50.24788 50.32556
## 2007-04-23 50.32009 50.32009 49.87574 49.88539
## 2007-04-24 49.87340 49.90184 49.72769 49.72769
## 2007-04-25 49.73385 49.88622 49.73385 49.88472
## 2007-04-26 49.89064 49.89064 49.74899 49.79201
## 2007-04-27 49.80530 49.80530 49.50814 49.50814
## 2007-04-28 49.54688 49.55497 49.29186 49.29186
## 2007-04-29 49.30289 49.30289 49.05676 49.13529
## 2007-04-30 49.13825 49.33974 49.11500 49.33974
## 2007-05-01 49.34572 49.52635 49.34572 49.47138
## 2007-05-02 49.47062 49.47062 49.34261 49.38521
## 2007-05-03 49.46328 49.69097 49.46328 49.58677
## 2007-05-04 49.59963 49.59963 49.41375 49.41375
## 2007-05-05 49.38428 49.40266 49.10310 49.10310
## 2007-05-06 49.16606 49.45999 49.16606 49.45999
## 2007-05-07 49.49188 49.49188 49.13572 49.13572
## 2007-05-08 49.13282 49.25507 49.13282 49.18930
## 2007-05-09 49.17739 49.17739 48.72708 48.72708
## 2007-05-10 48.83479 48.84549 48.38001 48.38001
## 2007-05-11 48.25456 48.25456 47.96904 47.96904
## 2007-05-12 47.96813 48.03286 47.89262 48.01935
## 2007-05-13 48.05550 48.05550 47.66209 47.66209
## 2007-05-14 47.64469 47.72505 47.58212 47.65930
## 2007-05-15 47.60647 47.74053 47.51796 47.72686
## 2007-05-16 47.72065 47.90717 47.70913 47.86683
## 2007-05-17 47.79430 47.79430 47.55140 47.62938
## 2007-05-18 47.65013 47.75117 47.65013 47.68423
## 2007-05-19 47.65552 47.77986 47.60536 47.60536
## 2007-05-20 47.56210 47.93085 47.56210 47.93085
## 2007-05-21 47.96582 48.02903 47.78072 47.78072
## 2007-05-22 47.81830 47.94825 47.81155 47.82946
## 2007-05-23 47.93593 48.08242 47.88763 47.90068
## 2007-05-24 47.89041 48.03077 47.88413 48.01130
## 2007-05-25 47.98234 48.17543 47.94507 48.16058
## 2007-05-26 48.14521 48.14521 47.92649 47.99613
## 2007-05-27 48.01018 48.02166 47.90193 47.90193
## 2007-05-28 47.90142 47.93398 47.64718 47.64718
## 2007-05-29 47.65665 47.89342 47.65446 47.87252
## 2007-05-30 47.78866 47.93267 47.78866 47.83291
## 2007-05-31 47.82845 47.84044 47.73780 47.73780
## 2007-06-01 47.74432 47.74432 47.54820 47.65123
## 2007-06-02 47.60223 47.74542 47.56796 47.72569
## 2007-06-03 47.71215 47.71215 47.50198 47.50198
## 2007-06-04 47.51516 47.53545 47.32342 47.37642
## 2007-06-05 47.41090 47.48217 47.21116 47.22930
## 2007-06-06 47.36581 47.41233 47.23306 47.40048
## 2007-06-07 47.42099 47.50637 47.35320 47.45262
## 2007-06-08 47.48449 47.53089 47.42814 47.48360
## 2007-06-09 47.38669 47.74770 47.38669 47.74770
## 2007-06-10 47.74899 47.74899 47.28685 47.28685
## 2007-06-11 47.27807 47.30884 47.14660 47.14660
## 2007-06-12 47.19411 47.41834 47.18153 47.41834
## 2007-06-13 47.46135 47.52004 47.43083 47.43083
## 2007-06-14 47.43279 47.43279 47.33490 47.34884
## 2007-06-15 47.33306 47.40490 47.26157 47.36779
## 2007-06-16 47.36452 47.40463 47.26056 47.26056
## 2007-06-17 47.24783 47.47249 47.24783 47.39521
## 2007-06-18 47.43470 47.56336 47.36424 47.36424
## 2007-06-19 47.46055 47.73353 47.46055 47.67220
## 2007-06-20 47.71126 47.81759 47.66843 47.66843
## 2007-06-21 47.71012 47.71012 47.61106 47.62921
## 2007-06-22 47.56849 47.59266 47.32549 47.32549
## 2007-06-23 47.22873 47.24771 47.09144 47.24771
## 2007-06-24 47.23996 47.30287 47.20932 47.22764
## 2007-06-25 47.20471 47.42772 47.13405 47.42772
## 2007-06-26 47.44300 47.61611 47.44300 47.61611
## 2007-06-27 47.62323 47.71673 47.60015 47.62769
## 2007-06-28 47.67604 47.70460 47.57241 47.60716
## 2007-06-29 47.63629 47.77563 47.61733 47.66471
## 2007-06-30 47.67468 47.94127 47.67468 47.76719

提取到指定数据

matrix_xts["/2007-01-07"]

##                Open     High      Low    Close
## 2007-01-02 50.03978 50.11778 49.95041 50.11778
## 2007-01-03 50.23050 50.42188 50.23050 50.39767
## 2007-01-04 50.42096 50.42096 50.26414 50.33236
## 2007-01-05 50.37347 50.37347 50.22103 50.33459
## 2007-01-06 50.24433 50.24433 50.11121 50.18112
## 2007-01-07 50.13211 50.21561 49.99185 49.99185

提取2007年6月25日至最后的所有数据

matrix_xts["2007-06-25/"]

##                Open     High      Low    Close
## 2007-06-25 47.20471 47.42772 47.13405 47.42772
## 2007-06-26 47.44300 47.61611 47.44300 47.61611
## 2007-06-27 47.62323 47.71673 47.60015 47.62769
## 2007-06-28 47.67604 47.70460 47.57241 47.60716
## 2007-06-29 47.63629 47.77563 47.61733 47.66471
## 2007-06-30 47.67468 47.94127 47.67468 47.76719

提取2007年5月28日至6月2日的数据

matrix_xts["2007-05-28/2007-06-02"]

##                Open     High      Low    Close
## 2007-05-28 47.90142 47.93398 47.64718 47.64718
## 2007-05-29 47.65665 47.89342 47.65446 47.87252
## 2007-05-30 47.78866 47.93267 47.78866 47.83291
## 2007-05-31 47.82845 47.84044 47.73780 47.73780
## 2007-06-01 47.74432 47.74432 47.54820 47.65123
## 2007-06-02 47.60223 47.74542 47.56796 47.72569

绘图

sample_matrix %>% datatable()

sample_matrix %>% colnames()

## [1] "Open"  "High"  "Low"   "Close"

sample_matrix %>% rownames()

##   [1] "2007-01-02" "2007-01-03" "2007-01-04" "2007-01-05" "2007-01-06"
##   [6] "2007-01-07" "2007-01-08" "2007-01-09" "2007-01-10" "2007-01-11"
##  [11] "2007-01-12" "2007-01-13" "2007-01-14" "2007-01-15" "2007-01-16"
##  [16] "2007-01-17" "2007-01-18" "2007-01-19" "2007-01-20" "2007-01-21"
##  [21] "2007-01-22" "2007-01-23" "2007-01-24" "2007-01-25" "2007-01-26"
##  [26] "2007-01-27" "2007-01-28" "2007-01-29" "2007-01-30" "2007-01-31"
##  [31] "2007-02-01" "2007-02-02" "2007-02-03" "2007-02-04" "2007-02-05"
##  [36] "2007-02-06" "2007-02-07" "2007-02-08" "2007-02-09" "2007-02-10"
##  [41] "2007-02-11" "2007-02-12" "2007-02-13" "2007-02-14" "2007-02-15"
##  [46] "2007-02-16" "2007-02-17" "2007-02-18" "2007-02-19" "2007-02-20"
##  [51] "2007-02-21" "2007-02-22" "2007-02-23" "2007-02-24" "2007-02-25"
##  [56] "2007-02-26" "2007-02-27" "2007-02-28" "2007-03-01" "2007-03-02"
##  [61] "2007-03-03" "2007-03-04" "2007-03-05" "2007-03-06" "2007-03-07"
##  [66] "2007-03-08" "2007-03-09" "2007-03-10" "2007-03-11" "2007-03-12"
##  [71] "2007-03-13" "2007-03-14" "2007-03-15" "2007-03-16" "2007-03-17"
##  [76] "2007-03-18" "2007-03-19" "2007-03-20" "2007-03-21" "2007-03-22"
##  [81] "2007-03-23" "2007-03-24" "2007-03-25" "2007-03-26" "2007-03-27"
##  [86] "2007-03-28" "2007-03-29" "2007-03-30" "2007-03-31" "2007-04-01"
##  [91] "2007-04-02" "2007-04-03" "2007-04-04" "2007-04-05" "2007-04-06"
##  [96] "2007-04-07" "2007-04-08" "2007-04-09" "2007-04-10" "2007-04-11"
## [101] "2007-04-12" "2007-04-13" "2007-04-14" "2007-04-15" "2007-04-16"
## [106] "2007-04-17" "2007-04-18" "2007-04-19" "2007-04-20" "2007-04-21"
## [111] "2007-04-22" "2007-04-23" "2007-04-24" "2007-04-25" "2007-04-26"
## [116] "2007-04-27" "2007-04-28" "2007-04-29" "2007-04-30" "2007-05-01"
## [121] "2007-05-02" "2007-05-03" "2007-05-04" "2007-05-05" "2007-05-06"
## [126] "2007-05-07" "2007-05-08" "2007-05-09" "2007-05-10" "2007-05-11"
## [131] "2007-05-12" "2007-05-13" "2007-05-14" "2007-05-15" "2007-05-16"
## [136] "2007-05-17" "2007-05-18" "2007-05-19" "2007-05-20" "2007-05-21"
## [141] "2007-05-22" "2007-05-23" "2007-05-24" "2007-05-25" "2007-05-26"
## [146] "2007-05-27" "2007-05-28" "2007-05-29" "2007-05-30" "2007-05-31"
## [151] "2007-06-01" "2007-06-02" "2007-06-03" "2007-06-04" "2007-06-05"
## [156] "2007-06-06" "2007-06-07" "2007-06-08" "2007-06-09" "2007-06-10"
## [161] "2007-06-11" "2007-06-12" "2007-06-13" "2007-06-14" "2007-06-15"
## [166] "2007-06-16" "2007-06-17" "2007-06-18" "2007-06-19" "2007-06-20"
## [171] "2007-06-21" "2007-06-22" "2007-06-23" "2007-06-24" "2007-06-25"
## [176] "2007-06-26" "2007-06-27" "2007-06-28" "2007-06-29" "2007-06-30"

data <- sample_matrix %>% 
  as.data.frame() %>% 
  rownames_to_column(var = "date") %>% 
  mutate(date = lubridate::ymd(date))
data %>% datatable()

data %>% 
  ggplot(aes(x = date,y = Open)) +
  geom_point() +
  geom_line() +
  scale_x_date(date_breaks = "1 month") +
  theme(text = element_text(family = "Times New Roman"),
        axis.text.x = element_text(angle = 45,vjust = 0.8)) -> p1

data %>% 
  ggplot(aes(x = date,y = High)) +
  geom_point() +
  geom_line() +
  scale_x_date(date_breaks = "1 month") +
  theme(text = element_text(family = "Times New Roman"),
        axis.text.x = element_text(angle = 45,vjust = 0.8)) -> p2


data %>% 
  ggplot(aes(x = date,y = Low)) +
  geom_point() +
  geom_line() +
  scale_x_date(date_breaks = "1 month") +
  theme(text = element_text(family = "Times New Roman"),
        axis.text.x = element_text(angle = 45,vjust = 0.8))  -> p3

data %>% 
  ggplot(aes(x = date,y = Close)) +
  geom_point() +
  geom_line() +
  scale_x_date(date_breaks = "1 month") +
  theme(text = element_text(family = "Times New Roman"),
        axis.text.x = element_text(angle = 45,vjust = 0.8)) ->p4

(p1 + p2) / (p3 + p4)

data %>% 
  tidyr::pivot_longer(cols = -date,names_to = "variable",values_to = "value") %>% 
  ggplot(aes(x = date,y = value,col = variable)) +
  geom_line() +
  geom_point() +
  facet_wrap(~variable,nrow = 2) +
  scale_x_date(date_breaks = "1 month",date_labels = "%Y-%m") +
  theme(text = element_text(family = "Times New Roman"),
        axis.text.x = element_text(angle = 30))

做一个ARIMA预测

data_ts <- AirPassengers %>% as.xts()
data_ts %>% class()

## [1] "xts" "zoo"

data_ts %>% head()

##          [,1]
## 1月 1949  112
## 2月 1949  118
## 3月 1949  132
## 4月 1949  129
## 5月 1949  121
## 6月 1949  135

arima_fit <- auto.arima(data_ts,d = 1,seasonal = TRUE,max.p = 1,max.q = 1)
arima_fit %>% forecast::autoplot()
arima_fit %>% forecast::checkresiduals()

## 
##  Ljung-Box test
## 
## data:  Residuals from ARIMA(1,1,0)(0,1,0)[12]
## Q* = 41.392, df = 23, p-value = 0.01068
## 
## Model df: 1.   Total lags used: 24