forecast v3.22

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

Date 2012-06-07
LinkingTo Rcpp, RcppArmadillo
LazyData yes
ByteCompile TRUE
License GPL (>= 2)
URL http://robjhyndman.com/software/forecast/
Packaged 2012-06-07 00:45:40 UTC; hyndman
Repository CRAN
Date/Publication 2012-06-07 06:05:56

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