Preliminary version of ts package

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Subject: Preliminary version of ts package
From: Prof Brian D Ripley (ripley@stats.ox.ac.uk)
Date: Tue 27 Jul 1999 - 17:06:23 EST


Message-ID: <Pine.GSO.4.05.9907270756330.29983-100000@auk.stats>

There is now a preliminary version of a time series package in the R-devel
snapshots, and we would welcome feedback on it. It is based in part on the
packages bats (Martyn Plummer) and tseries (Adrian Trapletti) and in part
on code I had or have written. (Thanks for the contributions, Martyn and
Adrian!) Some of the existing ts code has been changed, for example to plot
multiple time series, so the behaviour after library(ts) may differ from
that without it.

library(help=ts) gives something like the listing below. It is intended
that ar.burg (univariate case) and preliminary arima fitting and
forecasting functions will be added in the next couple of weeks. At
present there is a fairly high degree of S-PLUS compatibility in the
interfaces, but not necessarily in the objects or algorithms.

----------------------

Preliminary time-series package for R 0.65
==========================================

This is a preliminary version of a time-series package; at present
the functionality is somewhat limited in that not all the options are
yet implemented or may be very slow.

Functions in base R:
-------------------

ts Create a (univariate or multivariate) ts object
[.ts Subsetting method for ts objects.
as.ts, is.ts Coercion and membership functions
plot, print Methods for plot and print

aggregate Computes summaries (e.g. sum) over disjoint time intervals
diff Lagged differences of a time series
end Time of last observation
frequency Number of observations per unit of time
start Time of first observation
time Create time series giving the times of observations
tsp, tsp<- Get and set time-series attributes
window Subset to a time window

Functions in package ts:
-----------------------

acf Autocovariance and autocorrelation function
ar Wrapper for autoregression estimation functions
ar.yw Estimate autoregression model by solving Yule-Walker equations
Box.test Box-Pierce and Ljung-Box tests of independence
ccf Cross-covariance and cross-correlations for two series
cpgram Plot cumulative periodogram of univariate time series
cycle Create time series giving the positions in a cycle
                   of a time series
deltat Return time interval between observations
diffinv Discrete integration, the inverse of diff()
embed Embedding a time series
filter Linear filtering on a time series
kernel Smoothing kernel objects (and Daniell, Fejer and
                   (modified) Dirichlet kernels)
lag Compute lagged version of time series
na.contiguous Find longest contiguous stretch of non-NAs
na.omit.ts na.omit method for time series
pacf Partial autocorrelation function
plot.acf Plot autocorrelation function
plot.spec Plot spectral density estimate
plot.spec.coherency
plot.spec.phase
PP.test Phillips-Perron test for unit root
spec.ar Estimate spectral density by autoregression
spec.pgram Estimate spectral density from periodogram
spec.taper Taper by cosine bell
spectrum Wrapper for spectral density estimation functions
stl Seasonal decomposition using loess
toeplitz Generate Toeplitz matrix
ts.intersect Bind time series as multivariate ts over the common time base
ts.union Bind time series as multivariate ts over their total time base

TO DO

ar.burg maybe
arima fitting and forecasting.

Datasets in base R:
------------------

airmiles Passenger-Miles on US Airlines 1937-1960
co2 Moana Loa Atmospheric CO2 Concentrations
nhtemp Yearly Average Temperatures in New Haven CT
presidents Quarterly Approval Ratings for US Presidents
sunspots Monthly Mean Relative Sunspot Numbers
uspop Populations Recorded by the US Census

Datasets in package ts:
----------------------

accdeaths US accidental deaths 1973-8
beaver1 time series of body temperatures of two beavers
beaver2
deaths time-series on UK lung deaths 1974-9 from Diggle (1990)
mdeaths, fdeaths as above, for males and females
drivers time series on UK road deaths of drivers from Harvey (1989)
finance daily closing prices of major European stock indices, 1991-1998
lh dataset on luteinizing hormone from Diggle (1990)
nottem time-series of temperatures in Nottingham, 1920-1939
sales sales data with leading indicator
sunspot.year yearly sunspot data, 1700-1988
sunspot.month monthly sunspot data, 1749-1997
treering yearly tree ring data, -6000-1979

-- 
Brian D. Ripley,                  ripley@stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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