Development repository for the tsutils package for R.
Stable version can be found at: https://cran.r-project.org/package=tsutils
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")
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.
cmav
: centred moving average.coxstuart
: Cox-Stuart test for location/dispersion.decomp
: classical time series decomposition.seasplot
: construct seasonal plots.trendtest
: test a time series for trend.
getOptK
: optimal temporal aggregation level for AR(1), MA(1), ARMA(1,1).lagmatrix
: create leads/lags of variable.residout
: construct control chart of residuals.seasdummy
: create seasonal dummies.theta
: Theta method.
abc
: ABC analysis.xyz
: XYZ analysis.abcxyz
: ABC-XYZ analyses visualisation.
geomean
: geometric mean.lambdaseq
: generate sequence of lambda for LASSO regression.leadtrail
: remove leading/training zeros/NAs.wins
: winsorisation, including vectorised versionscolWins
androwWins
.
referrals
: A&E monthly referrals.
- Nikolaos Kourentzes - (http://nikolaos.kourentzes.com/)
- Ivan Svetunkov - (https://forecasting.svetunkov.ru/)
- Oliver Schaer - (https://www.lancaster.ac.uk/lums/people/oliver-schaer)
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.
This project is licensed under the GPL3 License
Happy forecasting!