README.md

In rwigren/TSAutils: A set of utilities for time series analysis

TSAutils

The package implements some useful functions in time series analysis, mainly for evaluation of time series models. Examples include rolling origin evaluation and bootstrap methods for time series.

Installation

You can install the package with

library(remotes)
remotes::install_github("rwigren/TSAutils")

or with

library(devtools)
devtools::install_github("rwigren/TSAutils")

To be added:

• Multivariate rolling origin evaluation
• Easy evaulation of multiple models on the same series
• Exhaustive search of SARIMA model order by information criteria
  • E.g.: Get k model orders with smalles AIC
• Possibly some simulation functions for:
  • Time-series regression
  • Multivariate linear processes (VARMA)

List of functions

rwigren/TSAutils documentation built on Nov. 5, 2019, 5:10 a.m.