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astsa (version 1.8)

Applied Statistical Time Series Analysis

Description

Included are data sets and scripts to accompany Time Series Analysis and Its Applications: With R Examples (4th ed), by R.H. Shumway and D.S. Stoffer. Springer Texts in Statistics, 2017. .

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install.packages('astsa')

Monthly Downloads

5,234

Version

1.8

License

GPL (>= 2)

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Repository

http://www.stat.pitt.edu/stoffer/tsa4/ https://github.com/nickpoison/astsa

Maintainer

David Stoffer

Last Published

December 15th, 2017

Functions in astsa (1.8)

EM Algorithm for General State Space Models

Basic False Discovery Rate

Seismic Trace of Explosion number 6

Kalman Filter - Model may be time varying or have inputs

Kalman Filter - Time Invariant Model

Lagged Regression

Platelet Levels

Seismic Trace of Earthquake number 5

Kalman Filter - Model may be time varying or have inputs or correlated errors

Convert ARMA Process to Infinite AR Process

Kalman Filter and Smoother - Time invariant model without inputs

U.S. Unemployment Rate

EM Algorithm for Time Invariant State Space Models

White Blood Cell Levels

Hematocrit Levels

Infrasonic Signal from a Nuclear Explosion

U.S. Monthly Live Births

Kalman Filter and Smoother - General model

Dow Jones Industrial Average

Kalman Filter and Smoother - General model, may have correlated errors

Five Quarterly Economic Series

Monthly Federal Reserve Board Production Index

Switching Filter (for Stochastic Volatility Models)

Quarterly Inflation

Signal Extraction And Optimal Filtering

Hawaiian occupancy rates

AR with Missing Values

Johnson and Johnson Quarterly Earnings Per Share

Crude oil, WTI spot price FOB

Simulated ARFIMA

Particulate levels from the LA pollution study

Global mean land-ocean temperature deviations

Cardiovascular Mortality from the LA Pollution study

Global Mean Surface Air Temperature Deviations

Hard Drive Cost per GB

LA Pollution-Mortality Study

Leading Indicator

Quarterly Interest Rate

Plot and print ACF of a time series

Recruitment (number of new fish)

Plot and print ACF and PACF of a time series

Nucleotide sequence - BNRF1 of Herpesvirus saimiri

Weekly Growth Rate of the Standard and Poor's 500

Speech Recording

Annual Varve Series

Daily Blood Work

Nucleotide sequence - BNRF1 Epstein-Barr

Biannual Sunspot Numbers

Earthquake and Explosion Seismic Series

Temperatures from the LA pollution study

Monthly pneumonia and influenza deaths in the U.S., 1968 to 1978.

Cross Correlation Plot

Spectral Density of an ARMA Model

Global mean land (only) temperature deviations - updated

Applied Statistical Time Series Analysis

Quarterly U.S. GNP

Monthly price of a pound of chicken

Lake Shasta inflow data

Temperature Profiles

fMRI - complete data set

Fit ARIMA Models

fMRI Data Used in Chapter 1

Time Series Plot

U.S. Unemployment

Lag Plot - one time series

Lag Plot - two time series

ARIMA Forecasting

Global mean land-ocean temperature deviations - updated

SO2 levels from the LA pollution study

Univariate and Multivariate Spectral Estimation

Frequency Domain Stochastic Regression

Returns of the New York Stock Exchange

Southern Oscillation Index

Spatial Grid of Surface Soil Temperatures