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tseries (version 0.8-4)

Package for time series analysis

Description

Package for time series analysis with emphasis on non-linear, non-stationary, and financial modelling

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Version

Install

install.packages('tseries')

Monthly Downloads

144,883

Version

0.8-4

License

GPL (see file COPYING), except for ./src/muin2ser.f and ./misc which are free for non-commercial purposes. See file README for details.

Maintainer

Kurt Hornik

Last Published

September 23rd, 2024

Functions in tseries (0.8-4)

adf.test

Augmented Dickey--Fuller Test
NelPlo

Nelson--Plosser Macroeconomic Time Series
ice.river

Icelandic River Data
garch

Fit GARCH Models to Time Series
USeconomic

U.S. Economic Variables
po.test

Phillips--Ouliaris Cointegration Test
amif

Auto Mutual Information Function
bds.test

BDS Test
plot.amif

Plot Method for Auto Mutual Information Functions
arma-methods

Methods for Fitted ARMA Models
arma

Fit ARMA Models to Time Series
summary.arma

Summarizing ARMA Model Fits
maxdrawdown

Maximum Drawdown or Maximum Loss
tseries-internal

Internal tseries functions
garch-methods

Methods for Fitted GARCH Models
kpss.test

KPSS Test for Stationarity
tcmd

Daily Yields on Treasury Securities
read.ts

Read Time Series Data
portfolio.optim

Portfolio Optimization
summary.garch

Summarizing GARCH Model Fits
bev

Beveridge Wheat Price Index, 1500--1869.
na.remove

NA Handling Routines for Time Series
read.matrix

Read Matrix Data
nino

Sea Surface Temperature (SST) Nino 3 and Nino 3.4 Indices
terasvirta.test

Teraesvirta Neural Network Test for Nonlinearity
jarque.bera.test

Jarque--Bera Test
bootstrap

Bootstrap for General Stationary Data
camp

Mount Campito Yearly Treering Data, -3435--1969.
tcm

Monthly Yields on Treasury Securities
quadmap

Quadratic Map (Logistic Equation)
seqplot.ts

Plot Two Time Series
white.test

White Neural Network Test for Nonlinearity
plotOHLC

Plot Open--High--Low--Close Bar Chart
get.hist.quote

Download Historical Finance Data
pp.test

Phillips--Perron Unit Root Test
runs.test

Runs Test
surrogate

Generate Surrogate Data and Statistics