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tsutils (version 0.9.0)

tsutils: tsutils: Time Series Exploration, Modelling and Forecasting

Description

The tsutils package provides functions to support various aspects of time series and forecasting modelling. In particular this package includes: (i) tests and visualisations that can help the modeller explore time series components and perform decomposition; (ii) modelling shortcuts, such as functions to construct lagmatrices and seasonal dummy variables of various forms; (iii) an implementation of the Theta method; (iv) tools to facilitate the design of the forecasting process, such as ABC-XYZ analyses; and (v) "quality of life" tools, such as treating time series for trailing and leading values.

Arguments

Time series exploration

  • cmav: centred moving average.

  • coxstuart: Cox-Stuart test for location/dispersion.

  • decomp: classical time series decomposition.

  • seasplot: construct seasonal plots.

  • trendtest: test a time series for trend.

Time series modelling

  • getOptK: optimal temporal aggregation level for AR(1), MA(1), ARMA(1,1).

  • lagmatrix: create leads/lags of variable.

  • residout: construct control chart of residuals.

  • seasdummy: create seasonal dummies.

  • theta: Theta method.

Forecasting process modelling

  • abc: ABC analysis.

  • xyz: XYZ analysis.

  • abcxyz: ABC-XYZ analyses visualisation.

Quality of life

  • geomean: geometric mean.

  • lambdaseq: generate sequence of lambda for LASSO regression.

  • leadtrail: remove leading/training zeros/NAs.

  • wins: winsorisation, including vectorised versions colWins and rowWins.

Time series data