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()