itsmr-package: Time Series Analysis Using the Innovations Algorithm

In itsmr: Time Series Analysis Using the Innovations Algorithm

Time Series Analysis Using the Innovations Algorithm

Description

Provides functions for modeling and forecasting time series data. Forecasting is based on the innovations algorithm. A description of the innovations algorithm can be found in the textbook Introduction to Time Series and Forecasting by Peter J. Brockwell and Richard A. Davis.

Details

Package:	itsmr
Type:	Package
Version:	1.11
Date:	2025-05-15
License:	FreeBSD
LazyLoad:	yes
URL:	https://georgeweigt.github.io/itsmr-refman.pdf

Author(s)

George Weigt
Maintainer: George Weigt <[e-mail]>

References

Brockwell, Peter J., and Richard A. Davis. Introduction to Time Series and Forecasting. 2nd ed. Springer, 2002.

Examples

plotc(wine)

## Define a suitable data model
M = c("log","season",12,"trend",1)

## Obtain residuals and check for stationarity
e = Resid(wine,M)
test(e)

## Define a suitable ARMA model
a = arma(e,p=1,q=1)

## Obtain residuals and check for white noise
ee = Resid(wine,M,a)
test(ee)

## Forecast future values
forecast(wine,M,a)

itsmr documentation built on June 8, 2025, 11:21 a.m.