TimeSeries Time Series Analysis Rob J Hyndman 2019-02-12

Base R ships with a lot of functionality useful for time series, in particular in the stats package. This is complemented by many packages on CRAN, which are briefly summarized below. There is also a considerable overlap between the tools for time series and those in the Econometrics and Finance task views. The packages in this view can be roughly structured into the following topics. If you think that some package is missing from the list, please let us know.

Basics

Times and Dates

Time Series Classes

Forecasting and Univariate Modeling

Frequency analysis

Decomposition and Filtering

Seasonality

Stationarity, Unit Roots, and Cointegration

Nonlinear Time Series Analysis

Entropy

Dynamic Regression Models

Multivariate Time Series Models

Analysis of large groups of time series

Functional time series

Continuous time models

Resampling

Time Series Data

Miscellaneous

acp AER anomalize ARCensReg ArDec arfima ASSA astsa autovarCore BAYSTAR bentcableAR BETS bfast bigtime BigVAR BNPTSclust boot BootPR brainwaver bspec bssm bsts CADFtest carfima carx cents changepoint changepoint.mv chron cointReg CommonTrend costat cts dataseries dCovTS depmix depmixS4 deseasonalize dLagM dlm dlnm dsa dse dtw dtwclust dygraphs dyn dynlm dynr earlywarnings Ecdat ecm ecp EMD ensembleBMA EvalEst events expsmooth factorstochvol fame fanplot FeedbackTS fGarch FitAR FitARMA FKF fma fNonlinear ForeCA ForecastComb forecast forecastHybrid forecTheta fpp2 fpp fracdiff fractal fractalrock freqdom.fda freqdom fts ftsa funtimes GAS gdpc ggseas ggTimeSeries glarma GMDH gmvarkit GNAR graphicalVAR gsarima gtop HarmonicRegression hht hts hwwntest imputePSF imputeTestbench imputeTS influxdbr InspectChangepoint itsmr jmotif KFAS KFKSDS kza locits lomb LPStimeSeries LSTS ltsa lubridate mafs MAPA mar1s mAr MARSS mclcar Mcomp meboot mFilter mgm mlVAR mondate MSwM MTS mtsdi multDM MultipleBubbles multitaper mvcwt nardl nets NlinTS nlts nnfor nonlinearTseries npst NTS odpc onlineVAR opera orderedLasso paleoTS partsm pastecs PCA4TS pcdpca pdc pdfetch pear perARMA pomp portes prophet psd PSF ptw Quandl quantspec rdatamarket regspec RGENERATE Rlibeemd rmaf RMAWGEN robets robfilter robustarima roll rollRegres RSEIS Rssa RTransferEntropy rts rucrdtw rugarch rwt sae2 scoringRules SDD sde seas season seasonal seasonalview Sim.DiffProc sleekts smooth sparsevar spectral.methods spectral spTimer stlplus stochvol stR strucchange stsm.class stsm sugrrants surveillance svars sweep sym.arma tbrf Tcomp TED tempdisagg tframe thief tibbletime Tides tiger timechange timeDate TimeProjection timesboot timeSeries timetk timsac tis tpr trend TSA tsbox tsbugs TSclust tscount TSdbi tsdecomp tsdisagg2 TSdist tsDyn tseries tseriesChaos tseriesEntropy TSEntropies tsfa tsfeatures tsfknn tsibble tsintermittent TSMining tsModel tsoutliers tsPI TSrepr TSstudio TSTutorial tswge urca uroot VAR.etp vars VARsignR Wats WaveletComp wavelets waveslim wavethresh WeightedPortTest wktmo wmtsa x12 x12GUI x13binary xts yuima ZIM ZRA zoo Finance Econometrics Environmetrics Time Series Data Library TISEAN Project Quandl GitHub repository for this Task View