CRAN Task View: Time Series Analysis

Maintainer:Rob J Hyndman, Rebecca Killick
Contact:Rob.Hyndman at monash.edu
Version:2022-06-02
URL:https://CRAN.R-project.org/view=TimeSeries
Source:https://github.com/cran-task-views/TimeSeries/
Contributions:Suggestions and improvements for this task view are very welcome and can be made through issues or pull requests on GitHub or via e-mail to the maintainer address. For further details see the Contributing guide.
Citation:Rob J Hyndman, Rebecca Killick (2022). CRAN Task View: Time Series Analysis. Version 2022-06-02. URL https://CRAN.R-project.org/view=TimeSeries.
Installation:The packages from this task view can be installed automatically using the ctv package. For example, ctv::install.views("TimeSeries", coreOnly = TRUE) installs all the core packages or ctv::update.views("TimeSeries") installs all packages that are not yet installed and up-to-date. See the CRAN Task View Initiative for more details.

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 overlap between the tools for time series and those designed for specific domains including Econometrics, Finance and Environmetrics.

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, either via e-mail to the maintainer or by submitting an issue or pull request in the GitHub repository linked above.

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

Entropy

Dynamic Regression Models

Multivariate Time Series Models

Analysis of large groups of time series

Functional time series

Matrix and tensor-valued time series

Continuous time models

Resampling

Time Series Data

Miscellaneous

CRAN packages

Core:fable, feasts, forecast, tseries, tsibble, zoo.
Regular:acp, AER, ARCensReg, ArDec, arfima, ASSA, astsa, autostsm, BayesARIMAX, bayesforecast, BAYSTAR, bentcableAR, BETS, beyondWhittle, bfast, BGVAR, bigtime, BigVAR, biwavelet, blocklength, BMTAR, BNPTSclust, boot, bootUR, breakfast, brolgar, bspec, bssm, bsts, bundesbank, BVAR, bvartools, CADFtest, carfima, carx, changepoint, changepoint.geo, changepoint.mv, changepoint.np, chron, clock, cointReg, collapse, costat, data.table, dataseries, DChaos, dCovTS, depmix, depmixS4, diffusion, disaggR, dLagM, dlm, dlnm, dsa, dse, DTSg, dtts, dtw, dtwclust, dygraphs, dyn, dynlm, EBMAforecast, Ecdat, ecm, ecp, EMD, ensembleBMA, esemifar, expsmooth, fable.prophet, fabletools, factorstochvol, fame, fanplot, FAVAR, fdaACF, FeedbackTS, fGarch, FinTS, FKF, FKF.SP, fma, fNonlinear, ForeCA, ForecastComb, forecastHybrid, forecastML, FoReco, forecTheta, fpcb, fpp2, fpp3, fracdiff, fredr, freqdom, freqdom.fda, fsMTS, ftsa, funtimes, garma, GAS, gdpc, ggdemetra, ggseas, glarma, GlarmaVarSel, GMDH, gmvarkit, GNAR, graphicalVAR, gratis, gravitas, greybox, gsarima, gsignal, gtop, HDTSA, hht, hts, hwwntest, imputeTestbench, imputeTS, IncDTW, influxdbr, InspectChangepoint, itsmr, KFAS, kza, legion, locits, lomb, LongMemoryTS, LSTS, LSWPlib, ltsa, lubridate, MAPA, mAr, mar1s, MARSS, mbsts, mclcar, Mcomp, meboot, mfbvar, mFilter, mgm, mixAR, mlVAR, modeltime, modeltime.ensemble, mondate, mrf, mssm, MSwM, MTS, mtsdi, MultipleBubbles, multitaper, mvLSW, nanotime, nardl, nets, NGSSEML, NlinTS, nlts, nnfor, nonlinearTseries, nsarfima, NTS, odpc, onlineforecast, opera, otsad, paleoTS, partsm, pastecs, PCA4TS, pcdpca, pcts, pdc, pdfetch, pomp, ProbReco, profoc, prophet, psd, PSF, PTSR, ptw, Quandl, quantspec, Rbeast, Rcatch22, rdbnomics, readabs, regspec, RGENERATE, rhosa, RJDemetra, Rlgt, Rlibeemd, RMAWGEN, robets, robfilter, RobKF, robustarima, roll, RSEIS, Rsfar, Rssa, RTransferEntropy, rts, rucrdtw, rugarch, runner, runstats, rwt, sazedR, scoringRules, scoringutils, sde, seas, season, seasonal, seasonalview, seer, Sim.DiffProc, SLBDD, sleekts, slider, smooth, smoots, sparsevar, spectral, spTimer, statespacer, STFTS, stlplus, stochvol, stR, strucchange, strucchangeRcpp, sugrrants, surveillance, svars, sweep, sym.arma, synthesis, tbrf, Tcomp, tempdisagg, tensorTS, testcorr, tfarima, tframe, theft, thief, Tides, timechange, timeDate, timeSeries, timeseriesdb, timetk, timsac, tis, tpr, trend, TSA, TSANN, tsbox, tsBSS, TSclust, tscount, tsdb, TSdbi, tsdecomp, tsdisagg2, TSdisaggregation, TSdist, tsDyn, TSEntropies, tseriesChaos, tseriesEntropy, tsfeatures, tsfknn, tsibbledata, tsibbletalk, TSLSTM, tsModel, tsoutliers, tsPI, TSrepr, tsrobprep, tssim, TSstudio, TSTutorial, tsutils, tswge, UComp, ugatsdb, uGMAR, urca, uroot, VARDetect, vars, VARshrink, VARsignR, WaveletComp, wavelets, waveslim, wavethresh, wavScalogram, wktmo, x12, x13binary, xts, yuima, ZIM, ZINARp, ZRA.
Archived:BootPR, deseasonalize, earlywarnings, FitAR, fts, HarmonicRegression, KFKSDS, LPStimeSeries, npst, onlineVAR, perARMA, portes, rmaf, SDD, stsm, tiger, TimeProjection, timesboot, tsintermittent, TSMining, VAR.etp, WeightedPortTest, wwntests.

Related links

Other resources