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itsmr (version 1.1)

Time series analysis package for students

Description

This package provides a subset of the functionality found in the Windows-based program ITSM. The intended audience is students using the textbook "Introduction to Time Series and Forecasting" by Peter J. Brockwell and Richard A. Davis.

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Version

Install

install.packages('itsmr')

Monthly Downloads

742

Version

1.1

License

Unlimited

Maintainer

George Weigt

Last Published

July 23rd, 2011

Functions in itsmr (1.1)

Dow Jones utilities index, August 28 to December 18, 1972

Plot one or two time series

Apply an exponential filter

Estimate ARMA coefficients using the Hannan-Rissanen algorithm

Plot data and/or model ACF and PACF

Autocovariance of data

Number of international airline passengers, 1949 to 1960

Time series analysis package for students

Compute residuals

Autocovariance of ARMA model

Forecast using ARAR algorithm

Compute MA infinity coefficients

Estimate MA coefficients using the innovations algorithm

USA accidental deaths, 1973 to 1978

Test residuals for stationarity and randomness

Plot spectrum of data or ARMA model

Estimate trend component

Generate synthetic observations

Apply a moving average filter

Australian red wine sales, January 1980 to October 1991

USA union strikes, 1951-1980

Check for causality and invertibility

Estimate AR coefficients using the Yule-Walker method

Find the best model from a range of possible ARMA models

Forecast future values

Estimate AR coefficients using the Burg method

Estimate harmonic components

Run a self test

Estimate seasonal component

Apply a spectral filter

Compute AR infinity coefficients

Level of Lake Huron, 1875 to 1972

Apply a low pass filter

Number of sunspots, 1770 to 1869

Estimate ARMA model coefficients using maximum likelihood

Specify an ARMA model