forecast v3.23


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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
Arima Fit ARIMA model to univariate time series
auto.arima Fit best ARIMA model to univariate time series
ma Moving-average smoothing
arima.errors ARIMA errors
taylor Half-hourly electricity demand
ses Exponential smoothing forecasts
croston Forecasts for intermittent demand using Croston's method
ets Exponential smoothing state space model
bats BATS model (Exponential smoothing state space model with Box-Cox transformation, ARMA errors, Trend and Seasonal components)
thetaf Theta method forecast
woolyrnq Quarterly production of woollen yarn in Australia
Acf (Partial) Autocorrelation Function Estimation
BoxCox.lambda Automatic selection of Box Cox transformation parameter
forecast.stl Forecasting using stl objects
forecast.StructTS Forecasting using Structural Time Series models
forecast.lm Forecast a linear model with possible time series components
msts Multi-Seasonal Time Series
splinef Cubic Spline Forecast
meanf Mean Forecast
forecast.HoltWinters Forecasting using Holt-Winters objects
CV Cross-validation statistic
forecast.Arima Forecasting using ARIMA or ARFIMA models
dm.test Diebold-Mariano test for predictive accuracy
naive Naive forecasts
dshw Double-Seasonal Holt-Winters Forecasting
gas Australian monthly gas production
plot.bats Plot components from BATS model
seasadj Seasonal adjustment
na.interp Interpolate missing values in a time series
monthdays Number of days in each season
ndiffs Number of differences required for a stationary series
forecast.ets Forecasting using ETS models
tsdisplay Time series display
simulate.ets Simulation from a time series model
sindexf Forecast seasonal index
rwf Random Walk Forecast
subset.ts Subsetting a time series
plot.forecast Forecast plot
wineind Australian total wine sales
seasonaldummy Seasonal dummy variables
tslm Fit a linear model with time series components
plot.ets Plot components from ETS model
BoxCox Box Cox Transformation
gold Daily morning gold prices
logLik.ets Log-Likelihood of an ets object
seasonplot Seasonal plot
accuracy Accuracy measures for forecast model
forecast.bats Forecasting using BATS and TBATS models
forecast Forecasting time series
tbats TBATS model (Exponential smoothing state space model with Box-Cox transformation, ARMA errors, Trend and Seasonal components)
fitted.Arima One-step in-sample forecasts using ARIMA models
arfima Fit a fractionally differenced ARFIMA model
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Date 2012-07-18
LinkingTo Rcpp, RcppArmadillo
LazyData yes
ByteCompile TRUE
License GPL (>= 2)
Packaged 2012-07-18 09:10:17 UTC; Rob
Repository CRAN
Date/Publication 2012-07-18 09:41:07

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