Learn R Programming

tsapp (version 1.0.4)

Time Series, Analysis and Application

Description

Accompanies the book Rainer Schlittgen and Cristina Sattarhoff (2020) "Angewandte Zeitreihenanalyse mit R, 4. Auflage" . The package contains the time series and functions used therein. It was developed over many years teaching courses about time series analysis.

Copy Link

Version

Install

install.packages('tsapp')

Monthly Downloads

285

Version

1.0.4

License

GPL

Maintainer

Rainer Schlittgen

Last Published

October 30th, 2021

Functions in tsapp (1.0.4)

ENGINES

ENGINES is an alias for MACHINES
BoxCox

BoxCox determines the power of a Box-Cox transformation to stabilize the variance of a time series
BLACKOUT

Weekly number of births in New York
DOMINANCE

Running yield of public bonds in Austria and Germany
DAX

Market value of DAX
COFFEE

U.S. annual coffee consumption
DIABETES

Incidences of insulin-dependent diabetes mellitus
ALCINCOME

Alcohol Demand, UK, 1870-1938.
ACCIDENT

Monthly numbers of road traffic accidents with personal injury in BRD
BEER

Monthly beer production in Australia: megalitres. Includes ale and stout. Does not include beverages with alcohol percentage less than 1.15.
MACHINES

Number of incoming orders for machines
GDPORIG

Germany's gross domestic product, values of Laspeyres index to base 2000
FINANCE

Portfolio-Insurance-Strategies
MUSKRAT

Annual trade of muskrat pelts
NIKKEI

Daily values of the Japanese stock market index Nikkei 225 between 02.02.2000 and 20.10.2020
GDP

Germany's gross domestic product adjusted for price changes
Grangercaus

Grangercaus determines three values of BIC from a twodimensional VAR process
MDAX

Stock market price of MDAX
HSV

HSV's position in the first German soccer league
PRODINDEX

Production index of manufacturing industries
WHORMONE

Concentration of growth hormone of a bull
MELANOM

Melanoma incidence in Connecticut
HAC

HAC Covariance Matrix Estimation HAC computes the central quantity (the meat) in the HAC covariance matrix estimator, also called sandwich estimator. HAC is the abbreviation for "heteroskedasticity and autocorrelation consistent".
USAPOP

Population of USA
INORDER

Income orders of a company
lagwinba

lagwinba Bartlett's Lag-window for indirect spectrum estimation
LjungBoxPierceTest

LjungBoxPierceTest determines the test statistic and p values for several lags for a residual series
ICECREAM

Temperature and consumption of ice cream
LYNXHARE

Size of populations of lynxes and snow hares
HEARTBEAT

Cardiac frequency of a patient
IBM

IBM's stock price
MAUNALOA

Atmospheric CO2 concentrations (ppmv) derived from in situ air samples collected at Mauna Loa Observatory, Hawaii
LYNX

Annual lynx trappings in a region of North-West Canada. Taken from Andrews and Herzberg (1985).
LUHORMONE

Level of Luteinzing hormone of a cow
RS

RS rescaled adjusted range statistic
SCHAUINSLAND

CO2-Concentration obtained in Schauinsland, Germany
RAINFALL

Annual amount of rainfall in Los Angeles
interpol

interpol help function for missls
SALES

Monthly sales of a company
REDWINE

Monthly sales of Australian red wine (1000 l)
acfpacf

acfpacf produces a plot of the acf and the pacf of a time series
acfmat

acfmat computes a sequence of autocorrelation matrices for a multivariate time series
dynspecest

dynspecest performs a dynamic spectrum estimation
L921

Subsoil water level and precipitation at pilot well L921
perwinpa

perwinpa Parzen's window for direct spectral estimation
lagwinpa

lagwinpa Parzen's Lag-window for indirect spectrum estimation
perwinda

perwinda Daniell window for direct spectral estimation
LITH

Daily subsoil water level and precipitation at pilot well Lith
OXYGEN

Amount of an Oxygen isotope
init_values

init_values is an auxiliary function for rlassoHAC, for fitting linear models with the method of least squares where only the variables in X with highest correlations are considered; taken from package hdm.
kweightsHAC

kweightsHAC help function for HAC
lambdaCalculationLoad

lambdaCalculationLoad is an auxiliary function for rlassoLoad; it calculates the penalty parameters with predefined loadings.
pestep

pestep help function for missar
ldrec

ldrec does Levinson-Durbin recursion for determing all coefficients a(i,j)
polymake

polymake generates the coefficients of an AR process given the zeros of the characteristic polynomial. The norm of the roots must be greater than one for stationary processes.
missls

missls substitutes missing values in a time series using the LS approach with ARMA models
psifair

psifair is a psi-function for robust estimation
psihuber

psihuber is a psi-function for robust estimation
moveav

moveav smoothes a time series by moving averages
robsplinedecomp

robsplinedecomp decomposes a vector into trend, season and irregular component by robustified spline approach; a time series attribute is lost
PAPER

Two measurements at a paper machine
splinedecomp

splinedecomp decomposes a time series into trend, season and irregular component by spline approach.
bandfilt

bandfilt does a bandpass filtering of a time series
PIGPRICE

Monthly prices for pigs
simpledecomp

simpledecomp decomposes a vector into trend, season and irregular component by linear regression approach
statcheck

statcheck determines the means, standard deviations and acf's of segmets of a time series and plots the acf's for the segments.
taper

taper taper modification of a time series
tsmat

tsmat constructs a (n-p+1,p) matrix from a time series where the first column is the shortened series y[p],...,y[n], the second is y[p-1],...,y[n-1], etc.
pacfmat

pacfmat sequence of partial autocorrelation matrices and related statistics for a multivariate time series
outidentify

outidentify performs one iteration of Wei's iterative procedure to identify impact, locations and type of outliers in arma processes
bispeces

bispeces performs indirect bivariate spectral estimation of two series y1, y2 using lagwindows
movemed

movemed smoothes a time series by moving medians
periodogram

periodogram determines the periodogram of a time series
PPDEMAND

Peak power demand in Berlin
smoothls

smoothls smoothes a time series by Whittaker graduation. The function depends on the package Matrix.
mfraccheck

multifractal check mfraccheck computes the absolute empirical moments of the differenced series for various lags and moment orders. E.g. for lag = 3 and moment order = 1 the average absolute value of the differences with lag 3 will be computed. By default, the maximum lag is determined so that the differenced series contains at lest 50 observations.
TREERING

Mean thickness of annual tree rings
TREMOR

Measurements of physiological tremor
missar

missar Substitution of missing values in a time series by conditional exspectations of AR(p) models
rlassoHAC

rlassoHAC performs Lasso estimation under heteroscedastic and autocorrelated non-Gaussian disturbances.
rlassoLoad

rlassoLoad performs Lasso estimation under heteroscedastic and autocorrelated non-Gaussian disturbances with predefined penalty loadings.
subsets

subsets determines all subsets of a set of n elements (labelled by 1,2,...,n ).
symplot

symplot produces a symmetry plot
smoothrb

smoothrb smoothes a time series robustly by using Huber's psi-function. The initialisation uses a moving median.
armathspec

armathspec determines the theoretical spectrum of an arma process
SPRUCE

Annual logging of spruce wood.
aspectratio

aspectratio determines the aspect ratio to plot a time series
TAXES

Monthly community taxes in Germany (billions EURO)
lagwintu

lagwintu Tukey's Lag-window for indirect spectrum estimation
lambdaCalculationHAC

lambdaCalculationHAC is an auxiliary function for rlassoHAC; it calculates the penalty parameters.
specest

specest direct spectral estimation of series y using periodogram window win
periodotest

periodotest computes the p-value of the test for a hidden periodicity
perwinba

perwinba Bartlett-Priestley window for direct spectral estimation
specplot

specplot plot of spectral estimate
wntest

wntest graphical test for white noise for a time series or a series of regression residuals
vartable

vartable determines table of variate differences