forecast v4.03


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


Date 2013-03-14
LinkingTo Rcpp, RcppArmadillo
LazyData yes
ByteCompile TRUE
License GPL (>= 2)
Packaged 2013-03-17 11:01:14 UTC; hyndman
NeedsCompilation yes
Repository CRAN
Date/Publication 2013-03-17 12:28:31

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