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.


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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, a year 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


Imported by seer.

Suggested by mlr.


See at CRAN