Time Series and Forecasting¶
Functions¶
ARIMA Models¶
Computes least-squares or method of moments estimates
of parameters arma
Computes maximum likelihood estimates of
parameters maxArma
Computes forecasts and
their associated probability limits armaForecast
Fit a univariate, non-seasonal ARIMA time
series model regressionArima
Automatic ARIMA Selection and Fitting Utilities¶
Automatic selection and fitting of a univariate
autoregressive time series model. autoUniAr
Estimates the optimum seasonality parameters for a
time series using an autoregressive model seasonalFit
Detects and determines outliers and simultaneously estimates
the model parameters in a time series tsOutlierIdentification
Computes forecasts for an outlier contaminated
time series tsOutlierForecast
Automatic ARIMA modeling and forecasting in the
presence of possible outliers autoArima
Estimates structural breaks in non-stationary
univariate time series models autoParm
Bayesian Time Series Estimation¶
Decomposes a time series into trend, seasonal, and an
error component bayesianSeasonalAdj
Model Construction and Evaluation Utilities¶
Performs a Box-Cox transformation boxCoxTransform
Performs differencing on a time series difference
Sample autocorrelation function autocorrelation
Computes the sample cross
correlation function crosscorrelation
Computes the multichannel cross-correlation
function multiCrosscorrelation
Sample partial autocorrelation function partialAutocorrelation
Lack-of-fit test based on the correlation function lackOfFit
Estimates missing values in a time series estimateMissing
Exponential Smoothing Methods¶
Holt-Winters additive or multiplicative method hwTimeSeries
State-Space Models¶
Performs Kalman filtering and evaluates the likelihood
function for the state‑space model kalman
Vector Auto-Regression and Error Correction¶
Estimates a vector auto-regressive time series model
with optional moving average components vectorAutoregression