EPreliminary time-series package for R ====================================== This is a preliminary version of a time-series package. 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, lines, print methods 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 deltat Return time interval between observations time Create time series giving the times of observations cycle Create time series giving the positions in a cycle of a time series start Time of first observation 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.burg Estimate autoregression model by Burg's method ar.ols Estimate autoregression model by ordinary least squares ar.mle Estimate autoregression model by maximum likelihood ar.yw Estimate autoregression model by solving Yule-Walker equations arima0 ARIMA modelling -- provisional version Box.test Box-Pierce and Ljung-Box tests of independence cbind.ts cbind method for time series (aligns time bases) ccf Cross-covariance and cross-correlations for two series cpgram Plot cumulative periodogram of univariate time series diffinv Discrete integration, the inverse of diff() embed Embedding a time series filter Linear filtering on a time series kernapply Apply kernel smoothers kernel Smoothing kernel objects (and (modified) Daniell, Fejer and 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: omits at ends only Ops.ts arithmetic (such as + - * /) for time series pacf Partial autocorrelation function plot.acf Plot autocorrelation function plot.spec Plot spectral density estimate, coherency and phase. PP.test Phillips-Perron test for unit roots predict methods for ar and arima0 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.plot Plot several time series with different time bases ts.union Bind time series as multivariate ts over their total time base In some cases the visual output will closer to that of S(-PLUS) if options(ts.S.compat=TRUE) has been set. 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 1749-1983 uspop Populations Recorded by the US Census Datasets in package ts: ---------------------- beavers time series of body temperatures of two beavers BJsales sales data with leading indicator from Box & Jenkins EuStockMarkets daily closing prices of major European stock indices, 1991-8 LakeHuron level of Lake Huron 1875-1972 lh dataset on luteinizing hormone from Diggle (1990) lynx Annual Canadian Lynx trappings 1821-1934 nottem monthly time-series of temperatures in Nottingham, 1920-1939 sunspot yearly sunspot data, 1700-1988 monthly sunspot data, 1749-1997 treering yearly tree ring data, -6000-1979 UKDriverDeaths time series on UK road deaths of drivers from Harvey (1989) UKLungDeaths time-series on UK lung deaths 1974-9 from Diggle (1990) USAccDeaths US accidental deaths 1973-8