CRAN Task View: Time Series Analysis

Maintainer:Rob J. Hyndman
Contact:Rob.Hyndman at monash.edu
Version:2014-06-11

Base R ships with a lot of functionality useful for time series, in particular in the stats package. This is complemented by many packages on CRAN, which are briefly summarized below. There is also a considerable overlap between the tools for time series and those in the Econometrics and Finance task views. The packages in this view can be roughly structured into the following topics. If you think that some package is missing from the list, please let us know.

Basics

Times and Dates

Time Series Classes

Forecasting and Univariate Modeling

Frequency analysis

Decomposition and Filtering

Seasonality

Stationarity, Unit Roots, and Cointegration

Nonlinear Time Series Analysis

Dynamic Regression Models

Multivariate Time Series Models

Continuous time models

Resampling

Time Series Data

Miscellaneous

CRAN packages:

Related links: