forecast v3.25


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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
seasonaldummy Seasonal dummy variables
monthdays Number of days in each season
tslm Fit a linear model with time series components
forecast.ets Forecasting using ETS models
dshw Double-Seasonal Holt-Winters Forecasting
ets Exponential smoothing state space model
bats BATS model (Exponential smoothing state space model with Box-Cox transformation, ARMA errors, Trend and Seasonal components)
wineind Australian total wine sales
BoxCox.lambda Automatic selection of Box Cox transformation parameter
tbats TBATS model (Exponential smoothing state space model with Box-Cox transformation, ARMA errors, Trend and Seasonal components)
dm.test Diebold-Mariano test for predictive accuracy
BoxCox Box Cox Transformation
CV Cross-validation statistic
forecast Forecasting time series
seasadj Seasonal adjustment
Acf (Partial) Autocorrelation Function Estimation
logLik.ets Log-Likelihood of an ets object
gas Australian monthly gas production
gold Daily morning gold prices
forecast.Arima Forecasting using ARIMA or ARFIMA models
ndiffs Number of differences required for a stationary series
subset.ts Subsetting a time series
arima.errors ARIMA errors
auto.arima Fit best ARIMA model to univariate time series
arfima Fit a fractionally differenced ARFIMA model
plot.bats Plot components from BATS model
msts Multi-Seasonal Time Series
ma Moving-average smoothing
forecast.stl Forecasting using stl objects
accuracy Accuracy measures for forecast model
forecast.lm Forecast a linear model with possible time series components
forecast.HoltWinters Forecasting using Holt-Winters objects
rwf Random Walk Forecast
naive Naive forecasts
plot.ets Plot components from ETS model
thetaf Theta method forecast
splinef Cubic Spline Forecast
ses Exponential smoothing forecasts
meanf Mean Forecast
sindexf Forecast seasonal index
fitted.Arima One-step in-sample forecasts using ARIMA models
Arima Fit ARIMA model to univariate time series
forecast.bats Forecasting using BATS and TBATS models
tsdisplay Time series display
na.interp Interpolate missing values in a time series
woolyrnq Quarterly production of woollen yarn in Australia
taylor Half-hourly electricity demand
simulate.ets Simulation from a time series model
croston Forecasts for intermittent demand using Croston's method
seasonplot Seasonal plot
plot.forecast Forecast plot
forecast.StructTS Forecasting using Structural Time Series models
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Date 2012-09-11
LinkingTo Rcpp, RcppArmadillo
LazyData yes
ByteCompile TRUE
License GPL (>= 2)
Packaged 2012-09-11 16:44:27 UTC; hyndman
Repository CRAN
Date/Publication 2012-09-11 17:01:16

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