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Diego J. Pedregal (Universidad de Castilla-La Mancha). License GPL-3.
Exploratory, descriptive and diagnostic tools for univariate and
multivariate time series, and tools to evaluate and compare forecasts.
Every tool is a pure function returning an object with
print() and plot() methods; the graphical
interfaces tooltest() and toolforecast() give
interactive access to all of them, either as Tcl/Tk windows
(gui = "tcltk", the default, no extra packages) or as Shiny
applications (gui = "shiny"). Data may have no dates or
have them (ts, zoo, xts or a
data.frame with a date column); with dates, the plots and
the forecast tables show them.
From GitHub:
install.packages("remotes")
remotes::install_github("djpedregal/tsexplorer", subdir = "r")library(tsexplorer)
r <- vident(vdif(log(airpas), c(1, 1), c(1, 12)))
r # table: ACF, PACF, Ljung-Box and Monti tests
plot(r) # correlogram
adftest(log(airpas), lags = 1:4)
tooltest(airpas) # Tcl/Tk windows (default)
tooltest(airpas, gui = "shiny") # same tool as a Shiny app
toolforecast(airpas, py, bands) # py, bands: ts objects, like airpas
toolforecast(airpas, py, bands, gui = "shiny")| Group | Functions |
|---|---|
| Plots and statistics | plotband, vboxplot,
vtboxplot, vscatter,
sumstats |
| Distribution | vhist, vqqplot,
gausstest |
| Identification | vident, vident2, varsbc,
vgranger |
| Heteroskedasticity | vcusum, stdmean, testhet,
vboxcox |
| Unit roots and cointegration | adftest, vphillips,
johansentest |
| Non-linearity | nltests, vtsay, varsbc2,
vbds |
| Spectral analysis | vcumperiod, vspectrum,
varspectrum |
| Forecast evaluation | faccuracy, fcompare,
fplot |
The tests compare the functions with reference results stored in
inst/extdata/reference/*.json, computed on the example data
and on simulated series (inst/extdata/reference/inputs/),
with tolerance 1e-6.
From this directory:
devtools::document()
devtools::test()
devtools::check()These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.