forecast v3.19


Monthly downloads



by Rob Hyndman

Forecasting functions for time series and linear models

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


Date 2012-02-22
LinkingTo Rcpp, RcppArmadillo
LazyData yes
ByteCompile TRUE
License GPL (>= 2)
Packaged 2012-02-22 05:45:20 UTC; hyndman
Repository CRAN
Date/Publication 2012-02-22 08:25:42

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