/forecast

forecast package for R

Primary LanguageR

forecast

R build status CRAN_Status_Badge cran checks Lifecycle: retired Downloads Licence

The R package forecast provides methods and tools for displaying and analysing univariate time series forecasts including exponential smoothing via state space models and automatic ARIMA modelling.

This package is now retired in favour of the fable package. The forecast package will remain in its current state, and maintained with bug fixes only. For the latest features and development, we recommend forecasting with the fable package.

Installation

You can install the stable version from CRAN.

install.packages('forecast', dependencies = TRUE)

You can install the development version from Github

# install.packages("remotes")
remotes::install_github("robjhyndman/forecast")

Usage

library(forecast)
library(ggplot2)

# ETS forecasts
USAccDeaths %>%
  ets() %>%
  forecast() %>%
  autoplot()

# Automatic ARIMA forecasts
WWWusage %>%
  auto.arima() %>%
  forecast(h=20) %>%
  autoplot()

# ARFIMA forecasts
library(fracdiff)
x <- fracdiff.sim( 100, ma=-.4, d=.3)$series
arfima(x) %>%
  forecast(h=30) %>%
  autoplot()

# Forecasting with STL
USAccDeaths %>%
  stlm(modelfunction=ar) %>%
  forecast(h=36) %>%
  autoplot()

AirPassengers %>%
  stlf(lambda=0) %>%
  autoplot()

USAccDeaths %>%
  stl(s.window='periodic') %>%
  forecast() %>%
  autoplot()

# TBATS forecasts
USAccDeaths %>%
  tbats() %>%
  forecast() %>%
  autoplot()

taylor %>%
  tbats() %>%
  forecast() %>%
  autoplot()

For more information

License

This package is free and open source software, licensed under GPL-3.