Methods for Temporal Disaggregation and Interpolation of Time Series

Temporal disaggregation methods are used to disaggregate and interpolate a low frequency time series to a higher frequency series, where either the sum, the mean, the first or the last value of the resulting high frequency series is consistent with the low frequency series. Temporal disaggregation can be performed with or without one or more high frequency indicator series. Contains the methods of Chow-Lin, Santos-Silva-Cardoso, Fernandez, Litterman, Denton and Denton-Cholette, summarized in Sax and Steiner (2013) . Supports most R time series classes.

Calculation of 22 CAnonical Time-Series CHaracteristics

Calculate 22 summary statistics coded in C on time-series vectors to enable pattern detection, classification, and regression applications in the feature space as proposed by Lubba et al. (2019) .

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Multivariate Time Series (MTS) is a general package for analyzing multivariate linear time series and estimating multivariate volatility models. It also handles factor models, constrained factor models, asymptotic principal component analysis commonly used in finance and econometrics, and principal volatility component analysis. (a) For the multivariate linear time series analysis, the package performs model specification, estimation, model checking, and prediction for many widely used models, including vector AR models, vector MA models, vector ARMA models, seasonal vector ARMA models, VAR models with exogenous variables, multivariate regression models with time series errors, augmented VAR models, and Error-correction VAR models for co-integrated time series. For model specification, the package performs structural specification to overcome the difficulties of identifiability of VARMA models. The methods used for structural specification include Kronecker indices and Scalar Component Models. (b) For multivariate volatility modeling, the MTS package handles several commonly used models, including multivariate exponentially weighted moving-average volatility, Cholesky decomposition volatility models, dynamic conditional correlation (DCC) models, copula-based volatility models, and low-dimensional BEKK models. The package also considers multiple tests for conditional heteroscedasticity, including rank-based statistics. (c) Finally, the MTS package also performs forecasting using diffusion index , transfer function analysis, Bayesian estimation of VAR models, and multivariate time series analysis with missing values.Users can also use the package to simulate VARMA models, to compute impulse response functions of a fitted VARMA model, and to calculate theoretical cross-covariance matrices of a given VARMA model.

'NetCDF' Geometry and Time Series

Tools to create time series and geometry 'NetCDF' files.

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.

Nonlinear Time Series Analysis

R functions for (non)linear time series analysis with an emphasis on nonparametric autoregression and order estimation, and tests for linearity / additivity.

Analysis of Count Time Series

Likelihood-based methods for model fitting and assessment, prediction and intervention analysis of count time series following generalized linear models are provided. Models with the identity and with the logarithmic link function are allowed. The conditional distribution can be Poisson or Negative Binomial.

Time Series with Matrix Profile

A toolkit implementing the Matrix Profile concept that was created by CS-UCR < http://www.cs.ucr.edu/~eamonn/MatrixProfile.html>.

Analyze Paleontological Time-Series

Facilitates analysis of paleontological sequences of trait values. Functions are provided to fit, using maximum likelihood, simple evolutionary models (including unbiased random walks, directional evolution,stasis, Ornstein-Uhlenbeck, covariate-tracking) and complex models (punctuation, mode shifts).