itsmr (version 1.1)

itsmr-package: Time series analysis package for students

Description

This package is designed to provide 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.

Details

ll{ Package: itsmr Type: Package Version: 1.0 Date: 2011-06-05 License: Unlimited LazyLoad: yes }

References

Brockwell, Peter J., and Richard A. Davis. Introduction to Time Series and Forecasting. 2nd ed. Springer, 2002. A student version of ITSM is included with the textbook.

Examples

plotc(wine)

## Define a suitable transformation of the data
xv = c("log","season",12,"trend",1)

## Obtain residuals and check for stationarity
e = Resid(wine,xv)
test(e)

## Define a suitable ARMA model
a = arma(e,p=1,q=1)

## Obtain residuals and check for white noise
ee = Resid(wine,xv,a)
test(ee)

## Forecast future values
forecast(wine,xv,a)