Time Series Management and Analysis for Hydrological Modelling

S3 functions for management, analysis, interpolation and plotting of time series used in hydrology and related environmental sciences. In particular, this package is highly oriented to hydrological modelling tasks. The focus of this package has been put in providing a collection of tools useful for the daily work of hydrologists (although an effort was made to optimise each function as much as possible, functionality has had priority over speed). Bugs / comments / questions / collaboration of any kind are very welcomed, and in particular, datasets that can be included in this package for academic purposes.

Unit Root Tests for Seasonal Time Series

Seasonal unit roots and seasonal stability tests. P-values based on response surface regressions are available for both tests. P-values based on bootstrap are available for seasonal unit root tests.

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.

Companion to Tsay (2005) Analysis of Financial Time Series

R companion to Tsay (2005) Analysis of Financial Time Series, second edition (Wiley). Includes data sets, functions and script files required to work some of the examples. Version 0.3-x includes R objects for all data files used in the text and script files to recreate most of the analyses in chapters 1-3 and 9 plus parts of chapters 4 and 11.

Maximum Entropy Bootstrap for Time Series

Maximum entropy density based dependent data bootstrap. An algorithm is provided to create a population of time series (ensemble) without assuming stationarity. The reference paper (Vinod, H.D., 2004 ) explains how the algorithm satisfies the ergodic theorem and the central limit theorem.

Package for Analysis of Space-Time Ecological Series

Regularisation, decomposition and analysis of space-time series. The pastecs R package is a PNEC-Art4 and IFREMER (Benoit Beliaeff ) initiative to bring PASSTEC 2000 functionalities to R.

'NetCDF' Geometry and Time Series

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

Time Series Data Sets

Provides a diverse collection of time series datasets spanning various fields such as economics, finance, energy, healthcare, and more. Designed to support time series analysis in R by offering datasets from multiple disciplines, making it a valuable resource for researchers and analysts.

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).

Goodness-of-Fit Functions for Comparison of Simulated and Observed Hydrological Time Series

S3 functions implementing both statistical and graphical goodness-of-fit measures between observed and simulated values, mainly oriented to be used during the calibration, validation, and application of hydrological models. Missing values in observed and/or simulated values can be removed before computations. Comments / questions / collaboration of any kind are very welcomed.