Time Series Feature Extraction

Methods for extracting various features from time series data. The features provided are those from Hyndman, Wang and Laptev (2013) , Kang, Hyndman and Smith-Miles (2017) and from Fulcher, Little and Jones (2013) . Features include spectral entropy, autocorrelations, measures of the strength of seasonality and trend, and so on. Users can also define their own feature functions.


PendingPull-Requests Travis-CI BuildStatus CRAN_Status_Badge Downloads Licence

The R package tsfeatures provides methods for extracting various features from time series data.

Installation

You can install the stable version on R CRAN.

install.packages('tsfeatures', dependencies = TRUE)

You can install the development version from Github with:

# install.packages("devtools")
devtools::install_github("robjhyndman/tsfeatures")

Usage

library(tsfeatures)
mylist <- list(sunspot.year, WWWusage, AirPassengers, USAccDeaths)
myfeatures <- tsfeatures(mylist)
myfeatures
#> # A tibble: 4 x 20
#>   frequency nperiods seasonal_period trend   spike linearity curvature
#>       <dbl>    <dbl>           <dbl> <dbl>   <dbl>     <dbl>     <dbl>
#> 1         1        0               1 0.125 2.10e-5      3.58      1.11
#> 2         1        0               1 0.985 3.01e-8      4.45      1.10
#> 3        12        1              12 0.989 2.12e-8     11.0       1.10
#> 4        12        1              12 0.796 9.67e-7     -2.13      2.85
#> # ... with 13 more variables: e_acf1 <dbl>, e_acf10 <dbl>, entropy <dbl>,
#> #   x_acf1 <dbl>, x_acf10 <dbl>, diff1_acf1 <dbl>, diff1_acf10 <dbl>,
#> #   diff2_acf1 <dbl>, diff2_acf10 <dbl>, seasonal_strength <dbl>,
#> #   peak <dbl>, trough <dbl>, seas_acf1 <dbl>

License

This package is free and open source software, licensed under GPL-3.

News

tsfeatures 1.0.1

  • Bug fixes
  • Documentation improvements

tsfeatures 1.0.0

  • First release

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("tsfeatures")

1.0.1 by Rob Hyndman, 8 months ago


https://pkg.robjhyndman.com/tsfeatures/


Report a bug at https://github.com/robjhyndman/tsfeatures/issues/


Browse source code at https://github.com/cran/tsfeatures


Authors: Rob Hyndman [aut, cre] , Yanfei Kang [aut] , Pablo Montero-Manso [aut] , Thiyanga Talagala [aut] , Earo Wang [aut] , Yangzhuoran Yang [aut] , Mitchell O'Hara-Wild [aut] , Souhaib Ben Taieb [ctb] , Cao Hanqing [ctb] , D K Lake [ctb] , Nikolay Laptev [ctb] , J R Moorman [ctb]


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL-3 license


Imports ForeCA, fracdiff, forecast, purrr, RcppRoll, stats, tibble, tseries, urca, future, furrr

Suggests testthat, knitr, rmarkdown, ggplot2, tidyr, dplyr, Mcomp, GGally


See at CRAN