The R package tsfeatures provides methods for extracting various features from time series data.
You can install the stable version on R CRAN.
install.packages('tsfeatures', dependencies = TRUE)You can install the development version from Github with:
# install.packages("devtools")
devtools::install_github("robjhyndman/tsfeatures")library(tsfeatures)
mylist <- list(sunspot.year, WWWusage, AirPassengers, USAccDeaths)
myfeatures <- tsfeatures(mylist)
myfeatures
#> # A tibble: 4 x 20
#> frequency nperiods seasonal_period trend spike linearity curvature
#> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
#> 1 1 0 1 0.125 2.10e-5 3.58 1.11
#> 2 1 0 1 0.985 3.01e-8 4.45 1.10
#> 3 12 1 12 0.989 2.12e-8 11.0 1.10
#> 4 12 1 12 0.796 9.67e-7 -2.13 2.85
#> # ... with 13 more variables: e_acf1 <dbl>, e_acf10 <dbl>, entropy <dbl>,
#> # x_acf1 <dbl>, x_acf10 <dbl>, diff1_acf1 <dbl>, diff1_acf10 <dbl>,
#> # diff2_acf1 <dbl>, diff2_acf10 <dbl>, seasonal_strength <dbl>,
#> # peak <dbl>, trough <dbl>, seas_acf1 <dbl>This package is free and open source software, licensed under GPL-3.