Functions for time series exploration, modelling and forecasting for R: tsutils package

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Development repository for the tsutils package for R.

Stable version can be found at: https://cran.r-project.org/package=tsutils

Installing

To install the development version use:

if (!require("devtools")){install.packages("devtools")}
devtools::install_github("trnnick/tsutils")

Otherwise, install the stable version from CRAN:

install.packages("tsutils")

Functionality

The tsutils package provides functions to support various aspects of time series and forecasting modelling. In particular this package includes: (i) tests and visualisations that can help the modeller explore time series components and perform decomposition; (ii) modelling shortcuts, such as functions to construct lagmatrices and seasonal dummy variables of various forms; (iii) an implementation of the Theta method; (iv) tools to facilitate the design of the forecasting process, such as ABC-XYZ analyses; and (v) “quality of life” tools, such as treating time series for trailing and leading values.

Time series exploration:

Time series modelling:

Hierarchical time series:

Forecasting process modelling:

Quality of life:

Time series data:

Authors & contributors

References

References are provided where necessary at the help file of each function. The overall modelling philosophy is reflected in:

Ord K., Fildes R., Kourentzes N. (2017) Principles of Business Forecasting, 2e. Wessex Press Publishing Co.

License

This project is licensed under the GPL3 License

Happy forecasting!