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.

tsfeatures

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 × 20
#>   frequency nperiods seasonal_period trend      spike linearity curvature e_acf1
#>       <dbl>    <dbl>           <dbl> <dbl>      <dbl>     <dbl>     <dbl>  <dbl>
#> 1         1        0               1 0.125    2.10e-5      3.58      1.11  0.793
#> 2         1        0               1 0.985    3.01e-8      4.45      1.10  0.774
#> 3        12        1              12 0.991    1.46e-8     11.0       1.09  0.509
#> 4        12        1              12 0.802    9.15e-7     -2.12      2.85  0.258
#> # ℹ 12 more variables: 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.