forecast v3.03


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by Rob Hyndman

Forecasting functions for time series

Methods and tools for displaying and analysing univariate time series forecasts including exponential smoothing via state space models and automatic ARIMA modelling.

Functions in forecast

Name Description
thetaf Theta method forecast
forecast.stl Forecasting using stl objects
seasonaldummy Seasonal dummy variables
ndiffs Number of differences required for a stationary series
BoxCox Box Cox Transformation
seasadj Seasonal adjustment
Arima Fit ARIMA model to univariate time series
forecast.StructTS Forecasting using Structural Time Series models
forecast Forecasting time series
forecast.HoltWinters Forecasting using Holt-Winters objects
rwf Random Walk Forecast
accuracy Accuracy measures for forecast model
ets Exponential smoothing state space model
arfima Fit a fractionally differenced ARFIMA model
forecast.ets Forecasting using ETS models
BoxCox.lambda Automatic selection of Box Cox transformation parameter
dshw Double-Seasonal Holt-Winters Forecasting
forecast.lm Forecast a linear model with possible time series components
naive Naive forecasts
arima.errors ARIMA errors
auto.arima Fit best ARIMA model to univariate time series
gas Australian monthly gas production
decompose Classical Seasonal Decomposition by Moving Averages
simulate.ets Simulation from a time series model
ma Moving-average smoothing
logLik.ets Log-Likelihood of an ets object
tslm Fit a linear model with time series components
Acf (Partial) Autocorrelation Function Estimation
gold Daily morning gold prices
ses Exponential smoothing forecasts
splinef Cubic Spline Forecast
fitted.Arima One-step in-sample forecasts using ARIMA models
seasonplot Seasonal plot
plot.ets Plot components from ETS model
forecast.Arima Forecasting using ARIMA or ARFIMA models
croston Forecasts for intermittent demand using Croston's method
tsdisplay Time series display
CV Cross-validation statistic
woolyrnq Quarterly production of woollen yarn in Australia
taylor Half-hourly electricity demand
monthdays Number of days in each season
plot.forecast Forecast plot
na.interp Interpolate missing values in a time series
wineind Australian total wine sales
sindexf Forecast seasonal index
subset.ts Subsetting a time series
dm.test Diebold-Mariano test for predictive accuracy
meanf Mean Forecast
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Last month downloads


Date 2011-09-02
LazyData yes
LazyLoad yes
License GPL (>= 2)
Packaged 2011-09-02 06:41:18 UTC; hyndman
Repository CRAN
Date/Publication 2011-09-02 12:39:45

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