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()