Functional Time Series Analysis

Functions for visualizing, modeling, forecasting and hypothesis testing of functional time series.

Miscellaneous Time Series Filters

The mFilter package implements several time series filters useful for smoothing and extracting trend and cyclical components of a time series. The routines are commonly used in economics and finance, however they should also be interest to other areas. Currently, Christiano-Fitzgerald, Baxter-King, Hodrick-Prescott, Butterworth, and trigonometric regression filters are included in the package.

Time Series Analysis Tools

A system contains easy-to-use tools as a support for time series analysis courses. In particular, it incorporates a technique called Generalized Method of Wavelet Moments (GMWM) as well as its robust implementation for fast and robust parameter estimation of time series models which is described, for example, in Guerrier et al. (2013) . More details can also be found in the paper linked to via the URL below.

Time Series Modeling for Air Pollution and Health

Tools for specifying time series regression models.

Enhanced Seasonal Decomposition of Time Series by Loess

Decompose a time series into seasonal, trend, and remainder components using an implementation of Seasonal Decomposition of Time Series by Loess (STL) that provides several enhancements over the STL method in the stats package. These enhancements include handling missing values, providing higher order (quadratic) loess smoothing with automated parameter choices, frequency component smoothing beyond the seasonal and trend components, and some basic plot methods for diagnostics.

Distance Measures for Time Series Data

A set of commonly used distance measures and some additional functions which, although initially not designed for this purpose, can be used to measure the dissimilarity between time series. These measures can be used to perform clustering, classification or other data mining tasks which require the definition of a distance measure between time series. U. Mori, A. Mendiburu and J.A. Lozano (2016), .

Seismic Time Series Analysis Tools

Multiple interactive codes to view and analyze seismic data, via spectrum analysis, wavelet transforms, particle motion, hodograms. Includes general time-series tools, plotting, filtering, interactive display.

Locally Stationary Time Series

A set of functions that allow stationary analysis and locally stationary time series analysis.

Alternative Time Series Analysis

Contains some tools for testing, analyzing time series data and fitting popular time series models such as ARIMA, Moving Average and Holt Winters, etc. Most functions also provide nice and clear outputs like SAS does, such as identify, estimate and forecast, which are the same statements in PROC ARIMA in SAS.

Linear Time Series Analysis

Methods of developing linear time series modelling. Methods are given for loglikelihood computation, forecasting and simulation.