Package: tsapp 1.0.4

tsapp: Time Series, Analysis and Application

Accompanies the book Rainer Schlittgen and Cristina Sattarhoff (2020) <https://www.degruyter.com/view/title/575978> "Angewandte Zeitreihenanalyse mit R, 4. Auflage" . The package contains the time series and functions used therein. It was developed over many years teaching courses about time series analysis.

Authors:Rainer Schlittgen

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tsapp.pdf |tsapp.html✨
tsapp/json (API)

# Install 'tsapp' in R:
install.packages('tsapp', repos = c('https://rainers48.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • ACCIDENT - Monthly numbers of road traffic accidents with personal injury in BRD
  • ALCINCOME - Alcohol Demand, UK, 1870-1938.
  • BEER - Monthly beer production in Australia: megalitres. Includes ale and stout. Does not include beverages with alcohol percentage less than 1.15.
  • BLACKOUT - Weekly number of births in New York
  • COFFEE - U.S. annual coffee consumption
  • DAX - Market value of DAX
  • DIABETES - Incidences of insulin-dependent diabetes mellitus
  • DOMINANCE - Running yield of public bonds in Austria and Germany
  • ENGINES - ENGINES is an alias for MACHINES
  • FINANCE - Portfolio-Insurance-Strategies
  • GDP - Germany's gross domestic product adjusted for price changes
  • GDPORIG - Germany's gross domestic product, values of Laspeyres index to base 2000
  • HEARTBEAT - Cardiac frequency of a patient
  • HSV - HSV's position in the first German soccer league
  • IBM - IBM's stock price
  • ICECREAM - Temperature and consumption of ice cream
  • INORDER - Income orders of a company
  • L921 - Subsoil water level and precipitation at pilot well L921
  • LITH - Daily subsoil water level and precipitation at pilot well Lith
  • LUHORMONE - Level of Luteinzing hormone of a cow
  • LYNX - Annual lynx trappings in a region of North-West Canada. Taken from Andrews and Herzberg (1985).
  • LYNXHARE - Size of populations of lynxes and snow hares
  • MACHINES - Number of incoming orders for machines
  • MAUNALOA - Atmospheric CO2 concentrations (ppmv) derived from in situ air samples collected at Mauna Loa Observatory, Hawaii
  • MDAX - Stock market price of MDAX
  • MELANOM - Melanoma incidence in Connecticut
  • MUSKRAT - Annual trade of muskrat pelts
  • NIKKEI - Daily values of the Japanese stock market index Nikkei 225 between 02.02.2000 and 20.10.2020
  • OXYGEN - Amount of an Oxygen isotope
  • PAPER - Two measurements at a paper machine
  • PIGPRICE - Monthly prices for pigs
  • PPDEMAND - Peak power demand in Berlin
  • PRODINDEX - Production index of manufacturing industries
  • RAINFALL - Annual amount of rainfall in Los Angeles
  • REDWINE - Monthly sales of Australian red wine
  • SALES - Monthly sales of a company
  • SCHAUINSLAND - CO2-Concentration obtained in Schauinsland, Germany
  • SPRUCE - Annual logging of spruce wood.
  • TAXES - Monthly community taxes in Germany
  • TREERING - Mean thickness of annual tree rings
  • TREMOR - Measurements of physiological tremor
  • USAPOP - Population of USA
  • WHORMONE - Concentration of growth hormone of a bull

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

53 exports 0.00 score 47 dependencies 1 scripts 257 downloads

Last updated 3 years agofrom:f2679a3d5e. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 01 2024
R-4.5-winOKSep 01 2024
R-4.5-linuxOKSep 01 2024
R-4.4-winOKSep 01 2024
R-4.4-macOKSep 01 2024
R-4.3-winOKSep 01 2024
R-4.3-macOKSep 01 2024

Exports:acfmatacfpacfarmathspecaspectratiobandfiltbispecesBoxCoxdynspecestGrangercausHACinit_valuesinterpolkweightsHAClagwinbalagwinpalagwintulambdaCalculationHAClambdaCalculationLoadldrecLjungBoxPierceTestmfraccheckmissarmisslsmoveavmovemedoutidentifypacfmatperiodogramperiodotestperwinbaperwindaperwinpapesteppolymakepsifairpsihuberrlassoHACrlassoLoadrobsplinedecompRSsimpledecompsmoothlssmoothrbspecestspecplotsplinedecompstatchecksubsetssymplottapertsmatvartablewntest

Dependencies:backportscheckmateclicodetoolscolorspacefansifarverfftwtoolsforeachFormulaggplot2glmnetgluegtablehdmisobanditeratorslabelinglatticelifecyclelmtestmagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigR6RColorBrewerRcppRcppEigenrlangsandwichscalesshapestrucchangesurvivaltibbleurcautf8varsvctrsviridisLitewithrzoo

Readme and manuals

Help Manual

Help pageTopics
Monthly numbers of road traffic accidents with personal injury in BRDACCIDENT
'acfmat' computes a sequence of autocorrelation matrices for a multivariate time seriesacfmat
'acfpacf' produces a plot of the acf and the pacf of a time seriesacfpacf
Alcohol Demand, UK, 1870-1938.ALCINCOME
'armathspec' determines the theoretical spectrum of an arma processarmathspec
'aspectratio' determines the aspect ratio to plot a time seriesaspectratio
'bandfilt' does a bandpass filtering of a time seriesbandfilt
Monthly beer production in Australia: megalitres. Includes ale and stout. Does not include beverages with alcohol percentage less than 1.15.BEER
'bispeces' performs indirect bivariate spectral estimation of two series y1, y2 using lagwindowsbispeces
Weekly number of births in New YorkBLACKOUT
'BoxCox' determines the power of a Box-Cox transformation to stabilize the variance of a time seriesBoxCox
U.S. annual coffee consumptionCOFFEE
Market value of DAXDAX
Incidences of insulin-dependent diabetes mellitusDIABETES
Running yield of public bonds in Austria and GermanyDOMINANCE
'dynspecest' performs a dynamic spectrum estimationdynspecest
ENGINES is an alias for MACHINESENGINES
Portfolio-Insurance-StrategiesFINANCE
Germany's gross domestic product adjusted for price changesGDP
Germany's gross domestic product, values of Laspeyres index to base 2000GDPORIG
'Grangercaus' determines three values of BIC from a twodimensional VAR processGrangercaus
HAC Covariance Matrix Estimation 'HAC' computes the central quantity (the meat) in the HAC covariance matrix estimator, also called sandwich estimator. HAC is the abbreviation for "heteroskedasticity and autocorrelation consistent".HAC
Cardiac frequency of a patientHEARTBEAT
HSV's position in the first German soccer leagueHSV
IBM's stock priceIBM
Temperature and consumption of ice creamICECREAM
'init_values' is an auxiliary function for rlassoHAC, for fitting linear models with the method of least squares where only the variables in X with highest correlations are considered; taken from package hdm.init_values
Income orders of a companyINORDER
'interpol' help function for misslsinterpol
'kweightsHAC' help function for HACkweightsHAC
Subsoil water level and precipitation at pilot well L921L921
'lagwinba' Bartlett's Lag-window for indirect spectrum estimationlagwinba
'lagwinpa' Parzen's Lag-window for indirect spectrum estimationlagwinpa
'lagwintu' Tukey's Lag-window for indirect spectrum estimationlagwintu
'lambdaCalculationHAC' is an auxiliary function for rlassoHAC; it calculates the penalty parameters.lambdaCalculationHAC
'lambdaCalculationLoad' is an auxiliary function for rlassoLoad; it calculates the penalty parameters with predefined loadings.lambdaCalculationLoad
'ldrec' does Levinson-Durbin recursion for determing all coefficients a(i,j)ldrec
Daily subsoil water level and precipitation at pilot well LithLITH
'LjungBoxPierceTest' determines the test statistic and p values for several lags for a residual seriesLjungBoxPierceTest
Level of Luteinzing hormone of a cowLUHORMONE
Annual lynx trappings in a region of North-West Canada. Taken from Andrews and Herzberg (1985).LYNX
Size of populations of lynxes and snow haresLYNXHARE
Number of incoming orders for machinesMACHINES
Atmospheric CO2 concentrations (ppmv) derived from in situ air samples collected at Mauna Loa Observatory, HawaiiMAUNALOA
Stock market price of MDAXMDAX
Melanoma incidence in ConnecticutMELANOM
multifractal check 'mfraccheck' computes the absolute empirical moments of the differenced series for various lags and moment orders. E.g. for lag = 3 and moment order = 1 the average absolute value of the differences with lag 3 will be computed. By default, the maximum lag is determined so that the differenced series contains at lest 50 observations.mfraccheck
'missar' Substitution of missing values in a time series by conditional exspectations of AR(p) modelsmissar
'missls' substitutes missing values in a time series using the LS approach with ARMA modelsmissls
'moveav' smoothes a time series by moving averagesmoveav
'movemed' smoothes a time series by moving mediansmovemed
Annual trade of muskrat peltsMUSKRAT
Daily values of the Japanese stock market index Nikkei 225 between 02.02.2000 and 20.10.2020NIKKEI
'outidentify' performs one iteration of Wei's iterative procedure to identify impact, locations and type of outliers in arma processesoutidentify
Amount of an Oxygen isotopeOXYGEN
'pacfmat' sequence of partial autocorrelation matrices and related statistics for a multivariate time seriespacfmat
Two measurements at a paper machinePAPER
'periodogram' determines the periodogram of a time seriesperiodogram
'periodotest' computes the p-value of the test for a hidden periodicityperiodotest
'perwinba' Bartlett-Priestley window for direct spectral estimationperwinba
'perwinda' Daniell window for direct spectral estimationperwinda
'perwinpa' Parzen's window for direct spectral estimationperwinpa
'pestep' help function for missarpestep
Monthly prices for pigsPIGPRICE
'polymake' generates the coefficients of an AR process given the zeros of the characteristic polynomial. The norm of the roots must be greater than one for stationary processes.polymake
Peak power demand in BerlinPPDEMAND
Production index of manufacturing industriesPRODINDEX
'psifair' is a psi-function for robust estimationpsifair
'psihuber' is a psi-function for robust estimationpsihuber
Annual amount of rainfall in Los AngelesRAINFALL
Monthly sales of Australian red wine (1000 l)REDWINE
'rlassoHAC' performs Lasso estimation under heteroscedastic and autocorrelated non-Gaussian disturbances.rlassoHAC
'rlassoLoad' performs Lasso estimation under heteroscedastic and autocorrelated non-Gaussian disturbances with predefined penalty loadings.rlassoLoad
'robsplinedecomp' decomposes a vector into trend, season and irregular component by robustified spline approach; a time series attribute is lostrobsplinedecomp
'RS' rescaled adjusted range statisticRS
Monthly sales of a companySALES
CO2-Concentration obtained in Schauinsland, GermanySCHAUINSLAND
'simpledecomp' decomposes a vector into trend, season and irregular component by linear regression approachsimpledecomp
'smoothls' smoothes a time series by Whittaker graduation. The function depends on the package Matrix.smoothls
'smoothrb' smoothes a time series robustly by using Huber's psi-function. The initialisation uses a moving median.smoothrb
'specest' direct spectral estimation of series y using periodogram window winspecest
'specplot' plot of spectral estimatespecplot
'splinedecomp' decomposes a time series into trend, season and irregular component by spline approach.splinedecomp
Annual logging of spruce wood.SPRUCE
'statcheck' determines the means, standard deviations and acf's of segmets of a time series and plots the acf's for the segments.statcheck
'subsets' determines all subsets of a set of n elements (labelled by 1,2,...,n ).subsets
'symplot' produces a symmetry plotsymplot
'taper' taper modification of a time seriestaper
Monthly community taxes in Germany (billions EURO)TAXES
Mean thickness of annual tree ringsTREERING
Measurements of physiological tremorTREMOR
'tsmat' constructs a (n-p+1,p) matrix from a time series where the first column is the shortened series y[p],...,y[n], the second is y[p-1],...,y[n-1], etc.tsmat
Population of USAUSAPOP
'vartable' determines table of variate differencesvartable
Concentration of growth hormone of a bullWHORMONE
'wntest' graphical test for white noise for a time series or a series of regression residualswntest