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forecast

The R package forecast provides methods and tools for displaying and analysing univariate time series forecasts including exponential smoothing via state space models and automatic ARIMA modelling.

Installation

You can install the stable version from CRAN.

install.packages('forecast', dependencies = TRUE)

You can install the development version from Github

# install.packages("devtools")
devtools::install_github("robjhyndman/forecast")

Usage

library(forecast)
library(ggplot2)

# ETS forecasts
USAccDeaths %>%
  ets() %>%
  forecast() %>%
  autoplot()

# Automatic ARIMA forecasts
WWWusage %>%
  auto.arima() %>%
  forecast(h=20) %>%
  autoplot()

# ARFIMA forecasts
library(fracdiff)
x <- fracdiff.sim( 100, ma=-.4, d=.3)$series
arfima(x) %>%
  forecast(h=30) %>%
  autoplot()

# Forecasting with STL
USAccDeaths %>%
  stlm(modelfunction=ar) %>%
  forecast(h=36) %>%
  autoplot()

AirPassengers %>%
  stlf(lambda=0) %>%
  autoplot()

USAccDeaths %>%
  stl(s.window='periodic') %>%
  forecast() %>%
  autoplot()

# TBATS forecasts
USAccDeaths %>%
  tbats() %>%
  forecast() %>%
  autoplot()

taylor %>%
  tbats() %>%
  forecast() %>%
  autoplot()

For more information

License

This package is free and open source software, licensed under GPL-3.

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Install

install.packages('forecast')

Monthly Downloads

295,288

Version

8.5

License

GPL-3

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Last Published

January 18th, 2019

Functions in forecast (8.5)