forecast v3.15

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

Date 2011-12-22
LinkingTo Rcpp, RcppArmadillo
LazyData yes
ByteCompile TRUE
License GPL (>= 2)
URL http://robjhyndman.com/software/forecast/
Packaged 2011-12-22 11:51:35 UTC; Rob
Repository CRAN
Date/Publication 2011-12-22 13:37:31

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