Package TSA': R Topics Documented

Package ‘TSA’
June 30, 2018

Type Package
Title Time Series Analysis
Version 1.2
Date 2018-6-17
Author Kung-Sik Chan, Brian Ripley
Maintainer Kung-Sik Chan <[email protected]>
Depends R (>= 2.5.1)
Imports leaps, locfit, mgcv
Description Contains R functions and datasets detailed in the book
``Time Series Analysis with Applications in R (second edition)'' by Jonathan Cryer and Kung-
Sik Chan.
License GPL (>= 2)
URL http://www.stat.uiowa.edu/~kchan/TSA.htm
RoxygenNote 6.0.1
NeedsCompilation no
Repository CRAN
Date/Publication 2018-06-30 21:10:56 UTC
R topics documented:
TSA-package . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
acf . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
airmiles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
airpass . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
ar1.2.s . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
ar1.s . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
ar2.s . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
arima . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
arima.boot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
arimax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
arma11.s . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
1
2 R topics documented:
ARMAspec . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
armasubsets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
beersales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
bluebird . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
bluebirdlite . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
boardings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
BoxCox.ar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
co2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
color . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
CREF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
cref.bond . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
days . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
deere1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
deere2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
deere3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
detectAO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
detectIO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
eacf . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
eeg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
electricity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
euph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
explode.s . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
fitted.Arima . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
flow . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
garch.sim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
gBox . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
gold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
google . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
hare . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
harmonic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
hours . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
ima22.s . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
JJ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
Keenan.test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
kurtosis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
lagplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
larain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
LB.test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
ma1.1.s . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
ma1.2.s . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
ma2.s . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
McLeod.Li.test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
milk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
oil.price . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
oilfilters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
periodogram . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
plot.Arima . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
plot.armasubsets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
TSA-package 3
plot1.acf . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
predict.TAR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
prescrip . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
prewhiten . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
prey.eq . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
qar.sim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
retail . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
robot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
rstandard.Arima . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
runs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
rwalk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
season . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
skewness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
SP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
spec . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
spots . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
spots1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
star . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
summary.armasubsets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
tar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
tar.sim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
tar.skeleton . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
tbone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
tempdub . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
tlrt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
Tsay.test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
tsdiag.Arimax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
tsdiag.TAR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
tuba . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
units . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
usd.hkd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
veilleux . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
wages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
winnebago . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
zlag . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
Index 77
TSA-package Time Series Analysis
Description
Contains R functions and datasets detailed in the book "Time Series Analysis with Applications in
R (second edition)" by J.D. Cryer and K.S. Chan
Details
4 acf
Package: TSA
Type: Package
Version: 1.01
Date: 2012-11-12
License: GPL version 2 or newer
Author(s)
Kung-Sik Chan, Brian Ripley
acf Auto- and Cross- Covariance and -Correlation Function Estimation
Description
This function calls the acf function in the stats package and processes to drop lag-0 of the acf. It
only works for univariate time series, so x below should be 1-dimensional.
Usage
acf(x, lag.max = NULL, type = c("correlation", "covariance", "partial")[1],

plot = TRUE, na.action = na.fail, demean = TRUE, drop.lag.0 = TRUE, ...)
Arguments
x a univariate or multivariate (not ccf) numeric time series object or a numeric

vector or matrix, or an "acf" object.
lag.max maximum number of lags at which to calculate the acf. Default is 10*log10(N/m)
where N is the number of observations and m the number of series.
type character string giving the type of acf to be computed. Allowed values are "cor-
relation" (the default), "covariance" or "partial".
plot logical. If TRUE (the default) the acf is plotted.
na.action function to be called to handle missing values. na.pass can be used.
demean logical. Should the covariances be about the sample means?
drop.lag.0 logical. Should lag 0 be dropped
... further arguments to be passed to plot.acf.
airmiles 5
Value
An object of class "acf", which is a list with the following elements:
lag A three dimensional array containing the lags at which the acf is estimated.
acf An array with the same dimensions as lag containing the estimated acf.
type The type of correlation (same as the type argument).
n.used The number of observations in the time series.
series The name of the series x.
snames The series names for a multivariate time series.
Author(s)
Original authors of stats:::acf are: Paul Gilbert, Martyn Plummer, B.D. Ripley. This wrapper is
written by Kung-Sik Chan
References
~put references to the literature/web site here ~
See Also
plot.acf, ARMAacf for the exact autocorrelations of a given ARMA process.
Examples
data(rwalk)
model1=lm(rwalk~time(rwalk))
summary(model1)
acf(rstudent(model1),main='')
airmiles Monthly Airline Passenger-Miles in the US
Description
Monthly U.S. airline passenger-miles: 01/1996 - 05/2005.
Usage
data(airmiles)
Format
The format is: ’ts’ int [1:113, 1] 30983174 32147663 38342975 35969113 36474391 38772238
40395657 41738499 33580773 36389842 ... - attr(*, "dimnames")=List of 2 ..$ : NULL ..$ : chr
"airmiles" - attr(*, "tsp")= num [1:3] 1996 2005 12
6 ar1.2.s
Source
www.bts.gov/xml/air_traffic/src/index.xml#MonthlySystem
Examples
data(airmiles)
## maybe str(airmiles) ; plot(airmiles) ...
airpass Monthly total international airline passengers
Description
Monthly total international airline passengers from 01/1960- 12/1971.
Usage
data(airpass)
Format
The format is: Time-Series [1:144] from 1960 to 1972: 112 118 132 129 121 135 148 148 136 119
...
Source
Box, G. E. P., Jenkins, G. M. and Reinsel, G. C. (1994) Time Series Analysis, Forecasting and
Control. Second Edition. New York: Prentice-Hall.
Examples
data(airpass)
## maybe str(airpass) ; plot(airpass) ...
ar1.2.s A simulated AR(1) series
Description
A simulated AR(1) series with the AR coefficient equal to 0.4.
Usage
data(ar1.2.s)
ar1.s 7
Format
The format is: Time-Series [1:60] from 1 to 60: -0.0678 1.4994 0.4888 0.3987 -0.5162 ...
Details
The model is Y(t)=0.4*Y(t-1)+e(t) where the e’s are iid standard normal.
Examples
data(ar1.2.s)
## maybe str(ar1.2.s) ; plot(ar1.2.s) ...
ar1.s A simulated AR(1) series
Description
A simulated AR(1) series with the AR coefficient equal to 0.9.
Usage
data(ar1.s)
Format
The format is: Time-Series [1:60] from 1 to 60: -1.889 -1.691 -1.962 -0.566 -0.627 ...
Details
The model is Y(t)=0.9*Y(t-1)+e(t) where the e’s are iid standard normal.
Examples
data(ar1.s)
## maybe str(ar1.s) ; plot(ar1.s) ...
8 arima
ar2.s Asimulated AR(2) series / time series
Description
Asimulated AR(2) series with AR coefficients being equal to 1.5 and -0.75
Usage
data(ar2.s)
Format
The format is: Time-Series [1:120] from 1 to 120: -2.064 -1.937 0.406 2.039 2.953 ...
Details
The model is Y(t)=1.5*Y(t-1)-0.75*Y(t-2)+e(t) where the e’s are iid standard normal random vari-
ables.
Examples
data(ar2.s)
## maybe str(ar2.s) ; plot(ar2.s) ...
arima Fitting an ARIMA model with Exogeneous Variables
Description
This function is identical to the arimax function which builds on and extends the capability of
the arima function in R stats by allowing the incorporation of transfer functions, and innovative
and additive outliers. For backward compatitibility, the function is also named arima. Note in the
computation of AIC, the number of parameters excludes the noise variance. This function is heavily
based on the arima function of the stats core of R.
Usage
arima(x, order = c(0, 0, 0), seasonal = list(order = c(0, 0, 0), period = NA),
xreg = NULL, include.mean = TRUE, transform.pars = TRUE, fixed = NULL,
init = NULL, method = c("CSS-ML", "ML", "CSS"), n.cond, optim.control = list(),
kappa = 1e+06, io = NULL, xtransf, transfer = NULL)
arima 9
Arguments
x time series response
order regular ARIMA order
seasonal seasonal ARIMA order
xreg a dataframe containing covariates
include.mean if true, an intercept term is incorporated in the model; applicable only to station-
ary models.
transform.pars if true, the AR parameters are transformed to ensure stationarity
fixed a vector indicating which coefficients are fixed or free
init initial values
method estimation method
n.cond number of initial values to be conditioned on in a conditional analysis
optim.control control parameters for the optimization procedure
kappa prior variance; used in dealing with initial values
All of the above parameters have the same usage as those in the arima function.
Please check the help manual of the arima function. Below are new options.
io a list of time points at which the model may have an innovative outlier. The time
point of the outlier can be given either as absolute time point or as c(a,b), i.e.
at the b-th ’month’ of the a-th ’year’ where each year has frequency(x) months,
assuming x is a time series.
xtransf xtranf is a matrix with each column containing a covariate that affects the time
series response in terms of an ARMA filter of order (p,q), i.e. if Z is one such co-
variate, its effect on the time series is (theta0 +theta1 B+...+thetaq−1 B q−1 )/(1−
phi1 B − ... − phip B p )Zt In particular, if p = 0 and q = 1, this specifies a sim-
ple regression relationship, which should be included in xreg and not here. Note
that the filter starts with zero initial values. Hence, it is pertinent to mean-delete
each distributed-lag covariate, and this is not done automatically.
transfer a list consisting of the ARMA orders for each transfer (distributed lag) covariate.
Value
An Arimax object contining the model fit.
Author(s)
Original author of the arima function in R stats: Brian Ripley. The arimax function is based on the
stats:::arima function, with modifications by Kung-Sik Chan.
See Also
arima
10 arima.boot
Examples
data(hare)
arima(sqrt(hare),order=c(3,0,0))
arima.boot Compute the Bootstrap Estimates of an ARIMA Model
Description
This function bootstraps time series according to the fitted ARMA(p,d,q) model supplied by the
fitted object arima.fit, and estimate the same model using the arima function. Any bootstrap sample
that has problem when fitted with the ARIMA model will be omitted from the final results and all
error messages will be suppressed. You can check if there is any fitting problem by running the
command geterrmessage().
Usage
arima.boot(arima.fit, cond.boot = FALSE, is.normal = TRUE, B = 1000, init, ntrans = 100)
Arguments
arima.fit a fitted object from the arima function (seasonal components not allowed)
cond.boot whether or not the bootstrap is conditional on the (p+d) initial values; if it is set
true. If false (default), the stationary bootstrap is used.
is.normal if true (default), errors are normally distributed, otherwise errors are drawn ran-
domly and with replacement from the residuals of the fitted model.
B number of bootstrap replicates (1000, default)
init initial values for the bootstrap; needed if cond.boot=True default values are the
initial values of the time series of the fitted model.
ntrans number of transient values for the stationary bootstrap. Default=100
Value
a matrix each row of which consists of the coefficient estimates of a bootstrap time-series.
Author(s)
Kung-Sik Chan
arimax 11
Examples
data(hare)
arima.hare=arima(sqrt(hare),order=c(3,0,0))
boot.hare=arima.boot(arima.hare,B=50,init=sqrt(hare)[1:3],ntrans=100)
apply(boot.hare,2,quantile, c(.025,.975))
period.boot=apply(boot.hare,1,function(x){
roots=polyroot(c(1,-x[1:3]))
min1=1.e+9
rootc=NA
for (root in roots) {
if( abs(Im(root))<1e-10) next
if (Mod(root)< min1) {min1=Mod(root); rootc=root}
}
if(is.na(rootc)) period=NA else period=2*pi/abs(Arg(rootc))
period
})
hist(period.boot)
quantile(period.boot,c(0.025,.975))
arimax Fitting an ARIMA model with Exogeneous Variables
Description
This function builds on and extends the capability of the arima function in R stats by allowing the
incorporation of transfer functions, innovative and additive outliers. For backward compatitibility,
the function is also named arima. Note in the computation of AIC, the number of parameters
excludes the noise variance.
Usage
arimax(x, order = c(0, 0, 0), seasonal = list(order = c(0, 0, 0), period = NA),
xreg = NULL, include.mean = TRUE, transform.pars = TRUE, fixed = NULL,
init = NULL, method = c("CSS-ML", "ML", "CSS"), n.cond, optim.control = list(),
kappa = 1e+06, io = NULL, xtransf, transfer = NULL)
Arguments
x time series response
order regular ARIMA order
seasonal seasonal ARIMA order
xreg a dataframe containing covariates
include.mean if true, an intercept term is incorporated in the model; applicable only to station-
ary model.
transform.pars if true, the AR parameters are transformed to ensure stationarity
12 arimax
fixed a vector indicating which coefficients are fixed or free

init initial values
method estimation method
n.cond number of initial values to be conditioned on a conditional analysis
optim.control control parameters for the optimization procedure
kappa prior variance; used in dealing with initial values
All of the above parameters have the same usage as those in the arima function.
Please check the help manual of the arima function. Below are new options.
io a list of time points at which the model may have an innovative outlier. The time
point of the outlier can be given either as absolute time point or as c(a,b), i.e.
at the b-th ’month’ of the a-th ’year’ where each year has frequency(x) months,
assuming x is a time series.
xtransf xtranf is a matrix with each column containing a covariate that affects the time
series response in terms of an ARMA filter of order (p,q), i.e. if Z is one such co-
variate, its effect on the time series is (theta0 +theta1 B+...+thetaq−1 B q−1 )/(1−
phi1 B − ... − phip B p )Zt In particular, if p = 0 and q = 1, this specifies a sim-
ple regression relationship, which should be included in xreg and not here. Note
that the filter starts with zero initial values. Hence, it is pertinent to mean-delete
each distributed-lag covariate, which is not done automatically.
transfer a list consisting of the ARMA orders for each transfer (distributed lag) covariate.
Value
An Arimax object containing the model fit.
Author(s)
Original author of the arima function in R stats: Brian Ripley. The arimax function is based on the
stats:::arima function, with modifications by Kung-Sik Chan.
See Also
arima
Examples
data(airmiles)
plot(log(airmiles),ylab='Log(airmiles)',xlab='Year', main='')
acf(diff(diff(window(log(airmiles),end=c(2001,8)),12)),lag.max=48,main='')
air.m1=arimax(log(airmiles),order=c(0,1,1),seasonal=list(order=c(0,1,1),
period=12),xtransf=data.frame(I911=1*(seq(airmiles)==69),
I911=1*(seq(airmiles)==69)),
transfer=list(c(0,0),c(1,0)),xreg=data.frame(Dec96=1*(seq(airmiles)==12),
Jan97=1*(seq(airmiles)==13),Dec02=1*(seq(airmiles)==84)),method='ML')
arma11.s 13
arma11.s A Simulated ARMA(1,1) Series/ time series
Description
A simulated ARMA(1,1) series with the model given by: yt = 0.6 ∗ yt−1 + et + 0.3 ∗ et−1 where
the e’s are iid standard normal random variables.
Usage
data(arma11.s)
Format
The format is: Time-Series [1:100] from 1 to 100: -0.765 1.297 0.668 -1.607 -0.626 ...
Examples
data(arma11.s)
## maybe str(arma11.s) ; plot(arma11.s) ...
ARMAspec Theoretical spectral density function of a stationary ARMA model
Description
Computes and plots the theoretical spectral density function of a stationary ARMA model
Usage
ARMAspec(model, freq = seq(0, 0.5, 0.001), plot = TRUE, ...)
Arguments
model an arma model
freq vector of frequency over which the spectral density is computed
plot if true, plot the spectral density function; default is true
... other parameters to be passed to the plot function
Value
a list:
spec spectral density values
freq same as freq in the input
model the arma model
14 armasubsets
Author(s)
Kung-Sik Chan
See Also
spec
Examples
theta=.9 # Reset theta for other MA(1) plots

ARMAspec(model=list(ma=-theta))
armasubsets Selection of Subset ARMA Models
Description
This function finds a number of subset ARMA models. A "long" AR model is fitted to the data y
to compute the residuals which are taken as a proxy of the error process. Then, an ARMA model is
approximated by a regression model with the the covariates being the lags of the time series and the
lags of the error process. Subset ARMA models may then be selected using the subset regression
technique by leaps and bounds, via the regsubsets function of the leaps package in R.
Usage
armasubsets(y, nar, nma, y.name = "Y", ar.method = "ols", ...)
Arguments
y time-series data
nar maximum AR order
nma maximum MA order
y.name label of the time series
ar.method method used for fitting the long AR model; default is ols with the AR order
determined by AIC
... arguments passed to the plot.armasubsets function
Value
An object of the armasubsets class to be processed by the plot.armasubsets function.
Author(s)
Kung-Sik Chan
beersales 15
Examples
set.seed(92397)
test=arima.sim(model=list(ar=c(rep(0,11),.8),ma=c(rep(0,11),0.7)),n=120)
res=armasubsets(y=test,nar=14,nma=14,y.name='test',ar.method='ols')
plot(res)
beersales Monthly beer sales / time series
Description
Monthly beer sales in millions of barrels, 01/1975 - 12/1990.
Usage
data(beersales)
Format
The format is: Time-Series [1:192] from 1975 to 1991: 11.12 9.84 11.57 13.01 13.42 ...
Source
Frees, E. W., Data Analysis Using Regression Models, Prentice Hall, 1996.
Examples
data(beersales)
## maybe str(beersales) ; plot(beersales) ...
bluebird Blue Bird Potato Chip Data
Description
Weekly unit sales (log-transformed) of Bluebird standard potato chips (New Zealand) and their
price for 104 weeks.
Usage
data(bluebird)
Format
The format is: mts [1:104, 1:2] 11.5 11.5 11.8 11.9 11.3 ... - attr(*, "dimnames")=List of 2 ..$ :
NULL ..$ : chr [1:2] "log.sales" "price" - attr(*, "tsp")= num [1:3] 1 104 1 - attr(*, "class")= chr
[1:2] "mts" "ts"
16 bluebirdlite
Source
www.stat.auckland.ac.nz/~balemi/Assn3.xls
Examples
data(bluebird)
## maybe str(bluebird) ; plot(bluebird) ...
bluebirdlite Bluebird Lite potato chip data
Description
Weekly unit sales (log-transformed) of Bluebird Lite potato chips (New Zealand) and their price for
104 weeks.
Usage
data(bluebirdlite)
Format
A data frame with 104 observations on the following 2 variables.
log.sales a numeric vector

price a numeric vector
Source
www.stat.auckland.ac.nz/~balemi/Assn3.xls
Examples
data(bluebirdlite)
## maybe str(bluebirdlite) ; plot(bluebirdlite) ...
boardings 17
boardings Monthly public transit boardings and gasoline price in Denver
Description
Monthly public transit boardings (mostly buses and light rail) and gasoline price (both log-transformed),
Denver, Colorado region, 08/2000 - 03/2006.
Source
Personal communication from Lee Cryer, Project Manager, Regional Transportation District, Den-
ver, Colorado. Denver gasoline prices were obtained from the Energy Information Administration,
U.S. Department of Energy, Washington, D.C.at www.eia.doe.gov
Examples
data(boardings)
plot(boardings)
## maybe str(boardings) ; plot(boardings) ...
BoxCox.ar Determine the power transformation for serially correlated data
Description
Determine the appropriate power transformation for time-series data. The objective is to estimate
the power transformation so that the transformed time series is approximately a Gaussian AR pro-
cess.
Usage
BoxCox.ar(y, order, lambda = seq(-2, 2, 0.01), plotit = TRUE,
method = c("mle", "yule-walker", "burg", "ols", "yw"), ...)
Arguments
y univariate time series (must be positive)
order AR order for the data; if missing, the order is determined by AIC for the log-
transformed data
lambda a vector of candidate power transformation values; if missing, it is set to be from
-2 to 2, with increment .01
plotit logical value, if true, plot the profile log-likelihood for the power estimator
method method of AR estimation; default is "mle"
... other parameters to be passed to the ar function
18 co2
Value
A list that contains the following:
lambda candidate power transformation parameter values

loglike profile log-likelihood
mle maximum likelihood estimate of the power transformation value
ci 95% C.I. of the power transformation value
Note
The procedure is very computer intensive. Be patient for the outcome
Author(s)
Kung-Sik Chan
Examples
data(hare)
# hare.transf=BoxCox.ar(y=hare)
# hare.transf$ci
co2 Levels of Carbon Dioxide at Alert, Canada / Time series
Description
Monthly CO2 level at Alert, Northwest Territories, Canada, near the Artic Circle, 01/1994 - 12/2004.
Usage
data(co2)
Format
The format is: Time-Series [1:132] from 1994 to 2005: 363 364 365 364 364 ...
Source
http://cdiac.ornl.gov/trends/co2/sio-alt.htm
Examples
data(co2)
## maybe str(co2) ; plot(co2) ...
color 19
color Color property/time series
Description
Color property from 35 consecutive batches in an industrial process.
Usage
data(color)
Format
The format is: Time-Series [1:35] from 1 to 35: 67 63 76 66 69 71 72 71 72 72 ...
Source
“The Estimation of Sigma for an X Chart”, Journal of Quality Technology, Vol. 22, No. 3 (July
1990), by Jonathan D. Cryer and Thomas P. Ryan.
Examples
data(color)
## maybe str(color) ; plot(color) ...
CREF Daily CREF Values
Description
Daily values of one unit of the CREF (College Retirement Equity Fund) Stock fund, 08/26/04 -
08/15/06.
Usage
data(CREF)
Format
Source
www.tiaa-cref.org/performance/retirement/data/index.html
Examples
data(CREF)
## maybe str(CREF) ; plot(CREF) ...
20 days
cref.bond Daily CREF Bond Values
Description
Daily values of one unit of the CREF (College Retirement Equity Fund) Bond fund, 08/26/04 -
08/15/06.
Usage
data(CREF)
Source
www.tiaa-cref.org/performance/retirement/data/index.html
Examples
data(CREF)
## maybe str(CREF) ; plot(CREF) ...
days Number of days between payment to Winegard Corp. / time series
Description
Accounts receivable data. Number of days until a distributor of Winegard Company products pays
their account.
Usage
data(days)
Format
Source
Personal communication from Mark Selergren, Vice President, Winegard, Inc., Burlington, Iowa.
Examples
data(days)
## maybe str(days) ; plot(days) ...
deere1 21
deere1 Deviations of an industrial process at Deere \& Co. – Series 1
Description
82 consecutive values for the amount of deviation (in 0.000025 inch units) from a specified target
value in an industrial machining process at Deere \& Co.
Usage
data(deere1)
Format
The format is: Time-Series [1:82] from 1 to 82: 3 0 -1 -4 7 3 7 3 3 -1 ...
Source
Personal communication from William F. Fulkerson, Deere \& Co. Technical Center, Moline, Illi-
nois.
Examples
data(deere1)
## maybe str(deere1) ; plot(deere1) ...
Description
102 consecutive values for the deviation (in 0.0000025 inch units) from a specified target value.
Usage
data(deere2)
Format
The format is: Time-Series [1:102] from 1 to 102: -18 -24 -17 -27 -37 -34 -8 14 18 7 ...
Source
nois.
22 detectAO
Examples
data(deere2)
Description
Fifty seven consecutive values for the deviation (in 0.0000025 inch units) from a specified target
value.
Usage
data(deere3)
Format
The format is: Time-Series [1:57] from 1 to 57: -500 -1250 -500 -3000 -2375 ...
Source
nois.
Examples
data(deere3)
detectAO Additive Outlier Detection
Description
This function serves to detect whether there are any additive outliers (AO). It implements the test
statistic lambda2,t proposed by Chang, Chen and Tiao (1988).
Usage
detectAO(object, alpha = 0.05, robust = TRUE)
detectAO 23
Arguments
object a fitted ARIMA model

alpha family significance level (5% is the default) Bonferroni rule is used to control
the family error rate.
robust if true, the noise standard deviation is estimated by mean absolute residuals
times sqrt(pi/2). Otherwise, it is the estimated by sqrt(sigma2) from the arima
fit.
Value
A list containing the following components:
ind the time indices of potential AO

lambda2 the corresponding test statistics
Author(s)
Kung-Sik Chan
References
Chang, I.H., Tiao, G.C. and C. Chen (1988). Estimation of Time Series Parameters in the Presence
of Outliers. Technometrics, 30, 193-204.
See Also
detectIO
Examples
set.seed(12345)
y=arima.sim(model=list(ar=.8,ma=.5),n.start=158,n=100)
y[10]
y[10]=10
y=ts(y,freq=1,start=1)
plot(y,type='o')
acf(y)
pacf(y)
eacf(y)
m1=arima(y,order=c(1,0,0))
m1
detectAO(m1)
detectAO(m1, robust=FALSE)
detectIO(m1)
24 detectIO
detectIO Innovative Outlier Detection
Description
This function serves to detect whether there are any innovative outliers (IO). It implements the test
statistic lambda2,t proposed by Chang, Chen and Tiao (1988).
Usage
detectIO(object, alpha = 0.05, robust = TRUE)
Arguments
object a fitted ARIMA model

alpha family significance level (5% is the default) Bonferroni rule is used to control
the family error rate.
robust if true, the noise standard deviation is estimated by mean absolute residuals
times sqrt(pi/2). Otherwise, it is the estimated by sqrt(sigma2) from the arima
fit.
Value
ind the time indices of potential AO

lambda1 the corresponding test statistics
Author(s)
Kung-Sik Chan
References
Chang, I.H., Tiao, G.C. and C. Chen (1988). Estimation of Time Series Parameters in the Presence
of Outliers. Technometrics, 30, 193-204.
See Also
detectIO
eacf 25
Examples
set.seed(12345)
y=arima.sim(model=list(ar=.8,ma=.5),n.start=158,n=100)
y[10]
y[10]=10
y=ts(y,freq=1,start=1)
plot(y,type='o')
acf(y)
pacf(y)
eacf(y)
m1=arima(y,order=c(1,0,0))
m1
detectAO(m1)
detectAO(m1, robust=FALSE)
detectIO(m1)
eacf Compute the sample extended acf (ESACF)
Description
Computes the sample extended acf (ESACF) for the time series stored in z. The matrix of ESACF
with the AR order up to ar.max and the MA order up to ma.max is stored in the matrix EACFM.
Usage
eacf(z, ar.max = 7, ma.max = 13)
Arguments
z the time series data
ar.max maximum AR order; default=7
ma.max maximum MA order; default=13
Value
A list containing the following two components:
eacf a matrix of sample extended ACF

symbol corresponding matrix of symbols indicating the significance of the ESACF
Side effect of the eacf function: The function prints a coded ESACF table with significant values
denoted by * and nosignificant values by 0.
Author(s)
Kung-Sik Chan
26 eeg
References
Tsay, R. and Tiao, G. (1984). "Consistent Estimates of Autoregressive Parameters and Extended
Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models." Journal of the
American Statistical Association, 79 (385), pp. 84-96.
Examples
data(arma11.s)
eacf(arma11.s)
eeg EEG Data
Description
An electroencephalogram (EEG) is a noninvasive test used to detect and record the electrical activity
generated in the brain. These data were measured at a frequency of 256 per second and came
from a patient suffering a seizure. This a portion of a series on the website of Professor Richard
Smith, University of North Carolina. His source: Professors Mike West and Andrew Krystal, Duke
University.
Usage
data(eeg)
Format
The format is: ts [1:13000, 1] -3.08 -20.15 -45.05 -69.95 -94.57 ... - attr(*, "dimnames")=List of 2
..$ : NULL ..$ : chr "eeg" - attr(*, "tsp")= num [1:3] 2001 15000 1
Source
http://www.stat.unc.edu/faculty/rs/s133/Data/datadoc.html
Examples
data(eeg)
## maybe str(eeg) ; plot(eeg) ...
electricity 27
electricity Monthly US electricity production / time series
Description
Monthly U.S. electricity generation (in millions of kilowatt hours) of all types: coal, natural gas,
nuclear, petroleum, and wind, 01/1973 - 12/2005.
Usage
data(electricity)
Format
The format is: ’ts’ int [1:396, 1] 160218 143539 148158 139589 147395 161244 173733 177365
156875 154197 ... - attr(*, "dimnames")=List of 2 ..$ : NULL ..$ : chr "electricity" - attr(*, "tsp")=
num [1:3] 1973 2006 12
Source
Source: www.eia.doe.gov/emeu/mer/elect.html
Examples
data(electricity)
## maybe str(electricity) ; plot(electricity) ...
euph A digitized sound file of a B flat played on a euphonium
Description
A digitized sound file of about 0.4 seconds of a B flat just below middle C played on a euphonium
by one of the authors (JDC), a member of the group Tempered Brass.
Usage
data(euph)
Format
Examples
data(euph)
## maybe str(euph) ; plot(euph) ...
28 fitted.Arima
explode.s A simulated explosive AR(1) series
Description
A simulated AR(1) series with the AR(1) coefficient being 3.
Usage
data(explode.s)
Format
Examples
data(explode.s)
## maybe str(explode.s) ; plot(explode.s) ...
fitted.Arima Fitted values of an arima model.
Description
Computes the fitted values of an arima model.
Usage
## S3 method for class 'Arima'
fitted(object,...)
Arguments
object a fitted model from the arima function.
... other arguments; not used here but kept to be consistent with the generic method
Value
fitted values
Author(s)
Kung-Sik Chan
flow 29
See Also
arima
Examples
data(hare)
hare.m1=arima(sqrt(hare),order=c(3,0,0))
fitted(hare.m1)
flow Monthly River Flow for the Iowa River
Description
Flow data (in cubic feet per second) for the Iowa river measured at Wapello, Iowa for the period
09/1958 - 08/2006.
Usage
data(flow)
Source
http://waterdata.usgs.gov/ia/nwis/sw
Examples
data(flow)
## maybe str(flow) ; plot(flow) ...
garch.sim Simulate a GARCH process
Description
Simulate a GARCH process.
Usage
garch.sim(alpha, beta, n = 100, rnd = rnorm, ntrans = 100,...)

30 gBox
Arguments
alpha The vector of ARCH coefficients including the intercept term as the first element
beta The vector of GARCH coefficients
n sample size
rnd random number generator for the noise; default is normal
ntrans burn-in size, i.e. number of initial simulated data to be discarded
... parameters to be passed to the random number generator
Details
Simulate data from the GARCH(p,q) model: xt = σt|t−1 et where {et } is iid, et independent of
past xt−s , s = 1, 2, . . ., and
p
X q
X
σt|t−1 = βj σt−j|t−j−1 + α0 + αj x2t−i
j=1 j=1
Value
simulated GARCH time series of size n.
Author(s)
Kung-Sik Chan
Examples
set.seed(1235678)
garch01.sim=garch.sim(alpha=c(.01,.9),n=500)
plot(garch01.sim,type='l', main='',ylab=expression(r[t]),xlab='t')
gBox Generalized Portmanteau Tests for GARCH Models
Description
Perform a goodness-of-fit test for the GARCH model by checking whether the standardized residu-
als are iid based on the ACF of the absolute residuals or squared residuals.
Usage
gBox(model, lags = 1:20, x, method = c("squared", "absolute")[1], plot = TRUE)

gold 31
Arguments
model fitted model from the garch function of the tseries library
lags a vector of maximum ACF lags to be used in the test
x time series data to which the GARCH model is fitted
method "squared": test is based on squared residuals; "absolute": test is based on abso-
lute residuals
plot logical variable, if TRUE, the p-values of the tests are plotted
Value
lags lags in the input
pvalue a vector of p-values of the tests
method method used
x x
Author(s)
Kung-Sik Chan
References
"Time Series Analysis, with Applications in R" by J.D. Cryer and K.S. Chan
Examples
# library(tseries) # need to uncomment this line when running the example

data(CREF)
r.cref=diff(log(CREF))*100
m1=garch(x=r.cref,order=c(1,1))
summary(m1)
#gBox(m1,x=r.cref,method='squared')
gold Gold Price / time series
Description
Daily price of gold (in \$ per troy ounce) for the 252 trading days of 2005
Usage
data(gold)
32 google
Format
Source
www.lbma.org.uk/2005dailygold.htm
Examples
data(gold)
## maybe str(gold) ; plot(gold) ...
google Daily returns of the google stock
Description
Daily returns of the google stock from 08/20/04 - 09/13/06.
Usage
data(google)
Format
The format is: Time-Series [1:521] from 1 to 521: 0.0764 0.0100 -0.0423 0.0107 0.0179 ...
Source
http://finance.yahoo.com/q/hp?s=GOOG
Examples
data(google)
## maybe str(google) ; plot(google) ...
hare 33
hare Canadian hare data/ time series
Description
Annual number of hare data.
Usage
data(hare)
Format
Details
These are yearly hare abundances for the main drainage of the Hudson Bay, based on trapper ques-
tionnaires.
Source
MacLulich, D. A. (1937) Fluctuations in the Number of the Varying Hare (Lepus americanus) (Univ.
of Toronto Press, Toronto)
References
Stenseth, N. C., Falck, W., Bjornstad, O. N. and Krebs. C. J. (1997) Population regulation in
snowshoe hare and Canadian lynx: Asymmetric food web configurations between hare and lynx.
Proc. Natl. Acad. Sci., 94, 5147-5152.
Examples
data(hare)
harmonic Construct harmonic functions for fitting harmonic trend model
Description
The function creates a matrix of the first m pairs of harmonic functions for fitting a harmonic trend
(cosine-sine trend, Fourier regresssion) models with the response being x, a time series.
Usage
harmonic(x, m = 1)
34 hours
Arguments
x a time series
m the number of pairs of harmonic functions to be created; 2m must be less than
or equal to the frequency of x
Value
a matrix consisting of cos(2kπt), sin(2kπt), k = 1, 2, ..., m, excluding any zero functions.
Author(s)
Kung-Sik Chan
See Also
season
Examples
data(tempdub)
# first creates the first pair of harmonic functions and then fit the model
har.=harmonic(tempdub,1)
model4=lm(tempdub~har.)
summary(model4)
hours Average hours worked in US manufacturing sector / time series
Description
Average hours worked (times 10) in U.S. manufacturing sector, from 07/1982 - 06/1987
Usage
data(hours)
Format
The format is: Time-Series [1:60] from 1983 to 1987: 389 390 389 390 393 397 392 388 396 398
...
Source
Cryer, J. D. Time Series Analysis, Duxbury Press, 1986.
Examples
data(hours)
## maybe str(hours) ; plot(hours) ...
ima22.s 35
ima22.s Simulated IMA(2,2) series / time series
Description
A simulated IMA(2,2) series with theta1=1 and theta2=-0.6
Usage
data(ima22.s)
Format
The format is: Time-Series [1:62] from 1 to 62: 0.00000 0.00000 -0.00569 2.12404 2.15337 ...
Examples
data(ima22.s)
## maybe str(ima22.s) ; plot(ima22.s) ...
JJ Quarterly earnings per share for the Johnson \& Johnson Company
Description
Quarterly earnings per share for 1960Q1 to 1980Q4 of the U.S. company, Johnson \& Johnson, Inc.
Usage
data(JJ)
Format
The format is: Time-Series [1:84] from 1960 to 1981: 0.71 0.63 0.85 0.44 0.61 0.69 0.92 0.55 0.72
0.77 ...
Source
http://www.stat.pitt.edu/stoffer/tsa2/
Examples
data(JJ)
## maybe str(JJ) ; plot(JJ) ...
36 Keenan.test
Keenan.test Keenan’s one-degree test for nonlinearity
Description
Carry out Keenan’s 1-degree test for nonlinearity against the null hypothesis that the time series
follows some AR process.
Usage
Keenan.test(x, order, ...)
Arguments
x time series
order working AR order; if missing, it is estimated by minimizing AIC via the ar
function.
... user-supplied options to the ar function.
Details
The test is designed to have optimal local power against depature from the linear autoregressive
function in the direction of the square of the linear autoregressive function.
Value
A list containing the following components
test.stat The observed test statistic
p.value p-value of the test
order working AR order
Author(s)
Kung-Sik Chan
References
Keenan, D. M. (1985), A Tukey nonadditivity-type test for time series Nonlinearity, Biometrika,
72, 39-44.
See Also
Tsay.test,tlrt
Examples
data(spots)
Keenan.test(sqrt(spots))
kurtosis 37
kurtosis Kurtosis
Description
Computes the Kurtosis.
Usage
kurtosis(x, na.rm = FALSE)
Arguments
x data
na.rm logical variable, if true, missing values are excluded from analysis
Details
Given data x1 , x2 , . . . , xn , the sample kurtosis is defined by the formula:

Pn
(x − x̄)4 /n
Pni=1 i − 3.
( i=1 (xi − x̄)2 /n)2
Value
The function returns the kurtosis of the data.
Author(s)
Kung-Sik Chan
Examples
data(CREF)
kurtosis(r.cref)
38 lagplot
lagplot Lagged Regression Plot
Description
Computes and plots the nonparametric regression function of a time series against its various lags.
Usage
lagplot(x, lag.max = 6, deg = 1, nn = 0.7, method = c("locfit", "gam", "both")[1])
Arguments
x time series
lag.max maximum lag
deg degree of local polynomial, needed only for the locfit method
nn fraction of nearest data contained in a window, needed only for the locfit method
method Two methods for nonparametric estimation: "locfit" is the default which uses
the local polynomial approach via the locfit library to estimate the conditional
mean function of E(Xt |Xt−k = x) for 1 ≤ k ≤ lag.max; Another method is
GAM, via the mgcv library.
Value
Side effects: The nonparametric lagged regression functions are plotted lag by lag, with the raw
data superimposed on the plots.
Author(s)
Kung-Sik Chan
References
Examples
set.seed(2534567)
par(mfrow=c(3,2))
y=arima.sim(n=61,model=list(ar=c(1.6,-0.94),ma=-0.64))
# lagplot(y)
larain 39
larain Annual rainfall in Los Angeles / time series
Description
Annual precipitation (in inches) in Los Angeles, 1878-1992.
Usage
data(larain)
Format
Source
Personal communication from Professor Donald Bentley, Pomona College, Claremont, California.
For more data see http://www.wrh.noaa.gov/lox/climate/cvc.php
Examples
data(larain)
## maybe str(larain) ; plot(larain) ...
LB.test Portmanteau Tests for Fitted ARIMA models
Description
This function modifies the Box.test function in the stats package, and it computes the Ljung-Box or
Box-Pierce tests checking whether or not the residuals appear to be white noise.
Usage
LB.test(model, lag = 12, type = c("Ljung-Box", "Box-Pierce"), no.error = FALSE,
omit.initial = TRUE)
Arguments
model model fit from the arima function
lag number of lags of the autocorrelation of the residuals to be included in the test
statistic. (default=12)
type either Ljung-Box or Box-Pierce
no.error a system variable; normally it is not changed
omit.initial if true, (d+Ds) initial residuals are omitted from the test
40 ma1.1.s
Value
a list:
statistics test statistic
p.value p-value
parameter d.f. of the Chi-square test
lag no of lags
Author(s)
Kung-Sik Chan, based on A. Trapletti’s work on the Box.test function in the stats package
References
Box, G. E. P. and Pierce, D. A. (1970), Distribution of residual correlations in autoregressive-
integrated moving average time series models. Journal of the American Statistical Association, 65,
15091526.
Ljung, G. M. and Box, G. E. P. (1978), On a measure of lack of fit in time series models. Biometrika
65, 553564.
Examples
data(color)
m1.color=arima(color,order=c(1,0,0))
LB.test(m1.color)
ma1.1.s A simulated MA(1) series / time series
Description
A simulated MA(1) series with the MA(1) coefficient equal to 0.9.
Usage
data(ma1.1.s)
Format
The format is: Time-Series [1:120] from 1 to 120: 0.182 -0.748 -0.355 1.014 -2.363 ...
Details
The model is Y (t) = e(t) − 0.9e(t − 1) where the e’s are iid standard normal.
Examples
data(ma1.1.s)
## maybe str(ma1.1.s) ; plot(ma1.1.s) ...
ma1.2.s 41
ma1.2.s A simulated MA(1) series / time series
Description
A simulated MA(1) series with the MA(1) coefficient equal to -0.9.
Usage
data(ma1.2.s)
Format
The format is: Time-Series [1:120] from 1 to 120: 1.511 1.821 0.957 -1.538 -2.888 ...
Details
The model is Y (t) = e(t) + 0.9e(t − 1) where the e’s are iid standard normal.
Examples
data(ma1.2.s)
## maybe str(ma1.2.s) ; plot(ma1.2.s) ...
ma2.s A simulated MA(2) series
Description
A simulated MA(2) series with MA coefficients being 1 and -0.6.
Usage
data(ma2.s)
Format
The format is: Time-Series [1:120] from 1 to 120: -0.4675 0.0815 0.9938 -2.6959 2.8116 ...
Details
The model is Y (t) = e(t) − e(t − 1) + 0.6 ∗ e(t − 2) where the e’s are iid standard normal random
variables.
Examples
data(ma2.s)
## maybe str(ma2.s) ; plot(ma2) ...
42 McLeod.Li.test
McLeod.Li.test McLeod-Li test
Description
Perform the McLeod-Li test for conditional heteroscedascity (ARCH).
Usage
McLeod.Li.test(object, y, gof.lag, col = "red", omit.initial = TRUE,
plot = TRUE, ...)
Arguments
object a fitted Arima model, ususally the output from the arima function. If supplied,
then the Mcleod-Li test is applied to the residuals of the model, and the y-
argument is ignored.
y time series data with which one wants to test for the presence of conditional
heteroscedascity
gof.lag maximum number of lags for which the test is carried out.
col color of the reference line
omit.initial suppress the initial (d+Ds) residuals if set to be TRUE
plot suppress plotting if set to be FALSE
... other arguments to be passed to the plot function
Details
The test checks for the presence of conditional heteroscedascity by computing the Ljung-Box (port-
manteau) test with the squared data (if y is supplied and object suppressed) or with the squared
residuals from an arima model (if an arima model is passed to the function via the object argument.)
Value
pvlaues the vector of p-values for the Ljung-Box test statistics computed using the first
m lags of the ACF of the squared data or residuals, for m ranging from 1 to
gof.lag.
Author(s)
Kung-Sik Chan
References
McLeod, A. I. and W. K. Li (1983). Diagnostic checking ARMA time series models using squared
residual autocorrelations. Journal of Time Series Analysis, 4, 269273.
milk 43
Examples
data(CREF)
McLeod.Li.test(y=r.cref)
milk Monthly Milk Production
Description
Average monthly milk production per cow in the US, 01/1994 - 12/2005
Usage
data(milk)
Format
The format is: ’ts’ int [1:144, 1] 1343 1236 1401 1396 1457 1388 1389 1369 1318 1354 ... - attr(*,
"dimnames")=List of 2 ..$ : NULL ..$ : chr "milk" - attr(*, "tsp")= num [1:3] 1994 2006 12
Examples
data(milk)
str(milk)
plot(milk)
oil.price Monthly Oil Price / time series
Description
Monthly spot price for crude oil, Cushing, OK (in U.S. dollars per barrel), 01/1986 - 01/2006.
Usage
data(oil.price)
Format
Source
tonto.eia.doe.gov/dnav/pet/hist/rwtcM.htm
44 periodogram
Examples
data(oil.price)
## maybe str(oil.price) ; plot(oil.price) ...
oilfilters Monthly sales to dealers of a specialty oil filter/time series
Description
Monthly wholesale specialty oil filters sales, Deere \& Co, 07/1983 - 06/1987.
Usage
data(oilfilters)
Format
The format is: Time-Series [1:48] from 1984 to 1987: 2385 3302 3958 3302 2441 3107 5862 4536
4625 4492 ... - attr(*, "freq")= num 12 - attr(*, "start")= num [1:2] 1987 7
Source
Data courtesy of William F. Fulkerson, Deere \& Company, Technical Center, Moline, Illinois.
Examples
data(oilfilters)
## maybe str(oilfilters) ; plot(oilfilters) ...
periodogram Computing the periodogram
Description
This is a wrapper that computes the periodogram
Usage
periodogram(y,log='no',plot=TRUE,ylab="Periodogram", xlab="Frequency",lwd=2,...)
plot.Arima 45
Arguments
y A univariate time series
log if set to "yes", the periodogram is plotted on the log-scale; default="no"
plot The periodogram is plotted if it is set to be TRUE which is the default
ylab label on the y-axis
xlab label on the x-axis
lwd thickness of the periodogram lines
... other arguments to be passed to the plot function
Value
A list that contains the following elements:
freq Vector of frequencies at which the spectral density is estimated. (Possibly ap-
proximate Fourier frequencies.
spec Vector of estimates of the periodogram at frequencies corresponding to freq.
References
Bloomfield, P. (1976) Fourier Analysis of Time Series: An Introduction. Wiley.
Brockwell, P. J. and Davis, R. A. (1991) Time Series: Theory and Methods. Second edition.
Springer.
Examples
data(star)
plot(star,xlab='Day',ylab='Brightness')
periodogram(star,ylab='Variable Star Periodogram'); abline(h=0)
plot.Arima Compute and Plot the Forecasts Based on a Fitted Time Series Model
Description
Plots the time series data and its predictions with 95% prediction bounds.
Usage
plot(x, n.ahead = 12, col = "black", ylab = object$series,
lty = 2, n1, newxreg, transform, Plot=TRUE, ...)
46 plot.Arima
Arguments
x a fitted arima model
n.ahead number of prediction steps ahead (default=12)
col color of the prediction bounds
ylab label of the y-axis
lty line type of the point predictor; default=dashed lines
n1 starting time point of the plot (default=earliest time point)
newxreg a matrix of covariate(s) over the period of prediction
transform function used to transform the forecasts and their prediction bounds; if missing,
no transformation will be carried out. This option is useful if the model was
fitted to the transformed data and it is desirable to obtain the forecasts on the
original scale. For example, if the model was fitted with the logarithm of the
data, then transform = exp will plot the forecasts and their prediction bounds on
the original scale.
Plot Plotting will be suppressed if Plot is set to be FALSE; default is TRUE
... additional parameters passed to the plot function
Value
Side effects of the function: plot the forecasts and their 95% prediction bounds, unless Plot is set
to be FALSE. The part of the observed series is plotted with all data plotted as open circles and
linked by a smooth line. By default the predicted values are plotted as open circles joined up by a
dashed line. The plotting style of the predicted values can be altered by supplying relevant plotting
options, e.g specifying the options type=’o’, pch=19 and lty=1 will plot the predicted values as solid
circles that are overlaid on the connecting smooth solid line. The prediction limits are plotted as
dotted lines, with default color being black. However, the prediction limits can be drawn in other
colors. For example, setting col=’red’ paints the prediction limits in red. An interesting use of the
col argument is setting col=NULL which has the effect of not drawing the prediction limits.
The function returns an invisible list containing the following components.
pred the time series of predicted values
lpi the corresponding lower 95% prediction limits
upi the corresponding upper 95% prediction limits
Author(s)
Kung-Sik Chan
Examples
data(oil.price)
oil.IMA11alt=arima(log(oil.price),order=c(0,1,1),
# create the design matrix of the covariate for prediction
xreg=data.frame (constant=seq(oil.price)))
n=length(oil.price)
n.ahead=24
plot.armasubsets 47
newxreg=data.frame(constant=(n+1):(n+n.ahead))
# do the prediction and plot the results
plot(oil.IMA11alt,n.ahead=n.ahead,newxreg=newxreg,
ylab='Log(Oil Price)',xlab='Year',n1=c(2000,1))
# do the same thing but on the orginal scale
plot(oil.IMA11alt,n.ahead=n.ahead,newxreg=newxreg,
ylab='Oil Price',xlab='Year',n1=c(2000,1),transform=exp,pch=19, lty=1,type='o')
# Setting pch=19 plots the predicted values as solid circles.
res=plot(oil.IMA11alt,n.ahead=n.ahead,newxreg=newxreg,
ylab='Oil Price',xlab='Year',n1=c(2000,1),transform=exp,pch=19,col=NULL)
# Setting col=NULL will make the prediction bands invisible. Try col='red'.
res
# prints the predicted values and their 95% prediction limits.
plot.armasubsets Plot the Best Subset ARMA models
Description
This function is adapted from the plot.regsubsets function of the leaps package, and its main use is
to plot the output from the armasubsets function.
Usage
## S3 method for class 'armasubsets'
plot(x, labels = obj$xnames, main = NULL,
scale = c("BIC", "AICc", "AIC", "Cp", "adjR2", "R2"),
col = gray(c(seq(0.4, 0.7, length = 10), 0.9)), draw.grid = TRUE,
axis.at.3 = TRUE, ...)
Arguments
x an object of class armasubsets
labels variable names
main title for plot
scale which summary statistic to use for ordering plots
col the last color should be close to but distinct from white
draw.grid a logical argument; if it is true (default), gray grid lines are superimposed on the
graph.
axis.at.3 a logical argument; if if it is true (default), the x-labels are drawn on the upper
horizontal axis.
... other arguments
Value
Plot the few best subset ARMA models.
48 predict.TAR
Author(s)
Kung-Sik Chan, based on previoud work by Thomas Lumley and Merlise Clyde
See Also
armasubsets
Examples
set.seed(53331)
test=arima.sim(model=list(ar=c(rep(0,11),.8),ma=c(rep(0,11),0.7)),n=120)
res=armasubsets(y=test,nar=14,nma=14,y.name='test',ar.method='ols')
plot(res)
plot1.acf Plot1
Description
A workhorse function for the acf function in the TSA pacakage.
Author(s)
Kung-Sik Chan
predict.TAR Prediction based on a fitted TAR model
Description
Predictions based on a fitted TAR model. The errors are assumed to be normally distributed. The
predictive distributions are approximated by simulation.
Usage
## S3 method for class 'TAR'
predict(object, n.ahead = 1, n.sim = 1000,...)
Arguments
object a fitted TAR model from the tar function
n.ahead number of prediction steps ahead
n.sim simulation size
... other arguments; not used here but kept for consistency with the generic method
prescrip 49
Value
fit a vector of medians of the 1-step to n.ahead-step predictive distributions
pred.interval a matrix whose i-th row consists of the 2.5 and 97.5 precentiles of the i-step
predictive distribution
pred.matrix a matrix whose j-th column consists of all simulated values from the j-step pre-
dictive distribution
Author(s)
Kung-Sik Chan
References
See Also
tar
Examples
data(prey.eq)
prey.tar.1=tar(y=log(prey.eq),p1=4,p2=4,d=3,a=.1,b=.9,print=TRUE)
set.seed(2357125)
pred.prey=predict(prey.tar.1,n.ahead=60,n.sim=1000)
yy=ts(c(log(prey.eq),pred.prey$fit),frequency=1,start=1)
plot(yy,type='n',ylim=range(c(yy,pred.prey$pred.interval)),ylab='Log Prey',
xlab=expression(t))
lines(log(prey.eq))
lines(window(yy, start=end(prey.eq)[1]+1),lty=2)
lines(ts(pred.prey$pred.interval[2,],start=end(prey.eq)[1]+1),lty=2)
lines(ts(pred.prey$pred.interval[1,],start=end(prey.eq)[1]+1),lty=2)
prescrip Cost per prescription / time series
Description
Monthly U.S. average prescription costs for the months 08/1986 - 03/1992.
Usage
data(prescrip)
Format
50 prewhiten
Source
Examples
data(prescrip)
## maybe str(prescrip) ; plot(prescrip) ...
prewhiten Prewhiten a Bivariate Time Series, and Compute and Plot Their Sam-
ple Cross-Correlation Function
Description
The bivariate time series are prewhitened according to an AR model fitted to the x-component of
the bivariate series. Alternatively, if an ARIMA model is provided, it will be used to prewhiten both
series. The CCF of the prewhitened bivariate series is then computed and plotted.
Usage
prewhiten(x, y, x.model = ar.res,ylab="CCF", ...)
Arguments
x first component series
y second component series
x.model an ARIMA model; if provided, it is used to prewhiten both series. Otherwise, an
AR model is fitted to the x-series and used to prewhiten both series.The AR order
is chosen by minimizing the AIC and the fit carried out by the ar.ols function.
ylab label of y-axis; default is "CCF"
... additional parameters to be passed to the ar.ols and the ccf function.
Value
ccf Output from the ccf function on the prewhitened data.

ar The AR model fit to the x-series, or x.model if it is provided.
Author(s)
Kung-Sik Chan
prey.eq 51
Examples
data(milk)
data(electricity)
milk.electricity=ts.intersect(milk,log(electricity))
plot(milk.electricity,yax.flip=TRUE,main='')
ccf(as.numeric(milk.electricity[,1]),as.numeric(milk.electricity[,2]),
main='milk & electricity',ylab='CCF')
me.dif=ts.intersect(diff(diff(milk,12)),diff(diff(log(electricity),12)))
prewhiten(as.numeric(me.dif[,1]),as.numeric(me.dif[,2]),
,ylab='CCF' )
prey.eq Prey series / time series
Description
The stationary part of the Didinium series in the veilleux data frame.
Usage
data(prey.eq)
Format
See Also
veilleux
Examples
data(prey.eq)
## maybe str(prey.eq) ; plot(prey.eq) ...
qar.sim Simulate a first-order quadratic AR model
Description
Simulates a first-order quadratic AR model with normally distributed noise.
Usage
qar.sim(const = 0, phi0 = 0, phi1 = 0.5, sigma = 1, n = 20, init = 0)
52 retail
Arguments
const intercept
phi0 coefficient of the lag 1
phi1 coefficient of the squared lag 1
sigma noise standard deviation
n sample size
init number of burn-in values
Details
The quadratic AR(1) model specifies that
2
Yt = const + φ0 Yt−1 + φ1 Yt−1 + et
where et are iid normally distributed with zero mean and standard deviation σ. If σ = 0, the model
is deterministic.
Value
A simulated series from the quadratic AR(1) model, as a vector
Author(s)
Kung-Sik Chan
See Also
tar.sim
Examples
set.seed(1234567)
plot(y=qar.sim(n=15,phi1=.5,sigma=1),x=1:15,type='l',ylab=expression(Y[t]),xlab='t')
y=qar.sim(n=100,const=0.0,phi0=3.97, phi1=-3.97,sigma=0,init=.377)
plot(y,x=1:100,type='l',ylab=expression(Y[t]),xlab='t')
acf(y,main='')
retail U.K. retail sales / time series
Description
Monthly total UK (United Kingdom) retail sales (non-food stores in billions of pounds), 01/1983 -
12/1987.
Usage
data(retail)
robot 53
Format
The format is: Time-Series [1:60] from 1983 to 1988: 81.3 78.9 93.8 94 97.8 1.6 99.6 1.2 98 1.7 ...
Source
www.statistics.gov.uk/statbase/TSDdownload1.asp
Examples
data(retail)
## maybe str(retail) ; plot(retail) ...
robot The distance of a robot from a desired position / time series
Description
Final position in the x direction of an industrial robot put through a series of planned exercises many
times.
Usage
data(robot)
Format
The format is: Time-Series [1:324] from 1 to 324: 0.0011 0.0011 0.0024 0 -0.0018 0.0055 0.0055
-0.0015 0.0047 -1e-04 ...
Source
nois.
Examples
data(robot)
## maybe str(robot) ; plot(robot) ...
54 runs
rstandard.Arima Compute the Standardized Residuals from a Fitted ARIMA Model
Description
Computes the internally standardized residuals from a fitted ARIMA model.
Usage
rstandard(model,...)
Arguments
model model fitted by the arima function
... not used; kept here for consistency with the generic method
Details
residuals/(error std. dev.)
Value
time series of standarized residuals
Examples
data(oil.price)
m1.oil=arima(log(oil.price),order=c(0,1,1))
plot(rstandard(m1.oil),ylab='Standardized residuals',type='l')
abline(h=0)
runs Runs test
Description
Test the independence of a sequence of random variables by checking whether there are too many
or too few runs above (or below) the median.
Usage
runs(x,k=0)
rwalk 55
Arguments
x time series
k the value above or below which runs are counted; default is zero, so data is
assumed to have zero median
Details
The runs test examines the data in sequence to look for patterns that would give evidence against
independence. Runs above or below k are counted. A small number of runs would indicate that
neighboring values are positively dependent and tend to hang together over time. On the other
hand, too many runs would indicate that the data oscillate back and forth across their median of
zero. Then neighboring residuals are negatively dependent. So either too few or too many runs lead
us to reject independence. When applied to residuals, the runs test is useful for model diagnostics.
Value
pvalue p-value of the test
observed.runs observed number of runs
expected.runs expected number of runs
n1 number of data less than or equal to k
n2 number of data above k
Author(s)
Kung-Sik Chan
Examples
data(tempdub)
month.=season(tempdub) # the period sign is included to make the printout from
# the following command clearer.
model3=lm(tempdub~month.) # intercept is automatically included so one month (Jan) is dropped
summary(model3)
runs(rstudent(model3))
rwalk A simulated random walk / Time series
Description
A simulated random walk with standard normal increments
Usage
data(rwalk)
56 season
Examples
data(rwalk)
## maybe str(rwalk) ; plot(rwalk) ...
season Extract the season info from a time series
Description
Extract the season info from a equally spaced time series and create a vector of the season info. For
example for monthly data, the function outputs a vector containing the months of the data.
Usage
season(x, labels)
Arguments
x a time series
labels the user supplied labels for the seasons
Details
The time series must have frequency greater than 1, otherwise the function will stop and issue an er-
ror message. If labels is missing, labels will be set as follows: It is set to be c("1Q","2Q","3Q","4Q)
if the frequency of x equals 4, c("January",...,"December") if the frequency equals 12, and c("Monday",...,"Sunday")
if frequency equals 7. Otherwise, it is set to be c("S1",...)
Value
An invisible vector containing the seasons of the data
Author(s)
Kung-Sik Chan
See Also
harmonic
Examples
data(tempdub)
month.=season(tempdub) # the period sign is included to make the printout from
# the commands two line below clearer; ditto below.
model2=lm(tempdub~month.-1) # -1 removes the intercept term
summary(model2)
skewness 57
skewness Skewness
Description
Computes the skewness of the data
Usage
skewness(x, na.rm = FALSE)
Arguments
x data
na.rm logical variable, if true, missing values are excluded from analysis
Details
Given data x1 , x2 , . . . , xn , the sample skewness is defined by the formula:

Pn
(x − x̄)3 /n
Pn i=1 i .
( i=1 (xi − x̄)2 /n)3/2
Value
The function returns the skewness of the data.
Author(s)
Kung-Sik Chan
Examples
data(CREF)
skewness(r.cref)
58 spec
SP Quarterly Standard \& Poor’s Composite Index of stock price values /

time series
Description
Quarterly S&P Composite Index, 1936Q1 - 1977Q4.
Usage
data(SP)
Format
Source
Examples
data(SP)
## maybe str(SP) ; plot(SP) ...
spec Computing the spectrum
Description
This is a wrapper that allows the user to invoke either the spec.pgram function or the spec.ar function
in the stats pacakge. Note that the seasonal attribute of the data, if it exists, will be removed, for our
preferred way of presenting the output.
Usage
spec(x, taper = 0, detrend = FALSE, demean = TRUE, method = c("pgram",

"ar"), ci.plot = FALSE, ylim = range(c(lower.conf.band, upper.conf.band)),
...)
spec 59
Arguments
A list that contains the following:
A univariate or multivariate time series

taper
x amount of taper; 0 is the default
detrend logical; if True, the data are detrended; default is False
demean logical; if True, the data are centered; default is True
method String specifying the method used to estimate the spectral density. Allowed
methods are "pgram" (the default) and "ar".
ci.plot logical; if True, the 95% confidence band will be plotted.
ylim Plotting parameter vector specifying the minimum and maximum of the y-axis.
... other arguments
Value
The output is from the spec.pgram function or spec.ar function, and the following description of the
output is taken from the help manual of the spec function in the stats package. An object of class
"spec", which is a list containing at least the following components:
freq Vector of frequencies at which the spectral density is estimated. (Possibly ap-
proximate Fourier frequencies.) The units are the reciprocal of cycles per unit
time (and not per observation spacing): see Details below.
spec Vector (for univariate series) or matrix (for multivariate series) of estimates of
the spectral density at frequencies corresponding to freq. coh NULL for uni-
variate series. For multivariate time series, a matrix containing the squared co-
herency between different series. Column i + (j - 1) * (j - 2)/2 of coh contains
the squared coherency between columns i and j of x, where i < j.
phase NULL for univariate series. For multivariate time series a matrix containing the
cross-spectrum phase between different series. The format is the same as coh.
series The name of the time series.
snames For multivariate input, the names of the component series.
method The method used to calculate the spectrum.
The result is returned invisibly if plot is true.
References
Bloomfield, P. (1976) Fourier Analysis of Time Series: An Introduction. Wiley.
Brockwell, P. J. and Davis, R. A. (1991) Time Series: Theory and Methods. Second edition.
Springer.
Venables, W. N. and Ripley, B. D. (2002) Modern Applied Statistics with S-PLUS. Fourth edition.
Springer. (Especially pages 3927.)
60 spots
Examples
set.seed(271435); n=200; phi=-0.6

y=arima.sim(model=list(ar=phi),n=n)
k=kernel('daniell',m=15)
sp=spec(y,kernel=k,main='',sub='',xlab='Frequency',
ylab='Log(Smoothed Sample Spectrum)',ci.plot=TRUE,ci.col='black')
lines(sp$freq,ARMAspec(model=list(ar=phi),sp$freq,plot=FALSE)$spec,lty=4)
abline(h=0)
spots Relative annual sunspot number / time series
Description
Annual American (relative) sunspot numbers collected from 1945 to 2007. The annual (relative)
sunspot number is a weighted average of solar activities measured from a network of observatories.
Usage
data(spots)
Format
Source
http://www.ngdc.noaa.gov/stp/SOLAR/ftpsunspotnumber.html#american
References
Examples
data(spots)
## maybe str(spots) ; plot(spots) ...
spots1 61
spots1 Annual international sunspot numbers
Description
Annual international sunspot numbers, NOAA National Geophysical Data Center, 1700 - 2005.
Usage
data(spots1)
Format
The format is: ts [1:306, 1] 5 11 16 23 36 58 29 20 10 8 ... - attr(*, "dimnames")=List of 2 ..$ :
NULL ..$ : chr "spots" - attr(*, "tsp")= num [1:3] 1700 2005 1
Source
ftp://ftp.ngdc.noaa.gov/STP/SOLAR_DATA/SUNSPOT_NUMBERS/YEARLY.PLT
Examples
data(spots1)
## maybe str(spots1) ; plot(spots1) ...
star Star Brightness
Description
Brightness (magnitude) of a particular star at midnight on 600 consecutive nights.
Usage
data(star)
Source
Whittaker, E. T. and Robinson, G., (1924). The Calculus of Observations. London: Blackie and
Son.
Examples
data(star)
## maybe str(star) ; plot(star) ...
data(star)
plot(star,xlab='Day',ylab='Brightness')
62 tar
summary.armasubsets Summary of output from the armasubsets function
Description
Add the calculation of AIC and AICc. See the help manual of regsubsets function of the leaps
package
Usage
## S3 method for class 'armasubsets'
summary(object, all.best = TRUE, matrix = TRUE, matrix.logical = FALSE,
df = NULL, ...)
Arguments
object armasubsets object
all.best Show all the best subsets or just one of each size
matrix Show a matrix of the variables in each model or just summary statistics
matrix.logical With matrix=TRUE, the matrix is logical TRUE/FALSE or string "*"/code" "
df Specify a number of degrees of freedom for the summary statistics. The default
is n-1
... Other arguments for future methods
Author(s)
Kung-Sik Chan, based on previous work of Thomas Lumley
tar Estimation of a TAR model
Description
Estimation of a two-regime TAR model.
Usage
tar(y, p1, p2, d, is.constant1 = TRUE, is.constant2 = TRUE, transform = "no",
center = FALSE, standard = FALSE, estimate.thd = TRUE, threshold,
method = c("MAIC", "CLS")[1], a = 0.05, b = 0.95, order.select = TRUE, print = FALSE)
tar 63
Arguments
y time series
p1 AR order of the lower regime
p2 AR order of the upper regime
d delay parameter
is.constant1 if True, intercept included in the lower regime, otherwise the intercept is fixed
at zero
is.constant2 similar to is.constant1 but for the upper regime
transform available transformations: "no" (i.e. use raw data), "log", "log10" and "sqrt"
center if set to be True, data are centered before analysis
standard if set to be True, data are standardized before analysis
estimate.thd if True, threshold parameter is estimated, otherwise it is fixed at the value sup-
plied by threshold
threshold known threshold value, only needed to be supplied if estimate.thd is set to be
False.
method "MAIC": estimate the TAR model by minimizing the AIC; "CLS": estimate the
TAR model by the method of Conditional Least Squares.
a lower percent; the threshold is searched over the interval defined by the a*100
percentile to the b*100 percentile of the time-series variable
b upper percent
order.select If method is "MAIC", setting order.select to True will enable the function to
further select the AR order in each regime by minimizing AIC
print if True, the estimated model will be printed
Details
The two-regime Threshold Autoregressive (TAR) model is given by the following formula:
Yt = φ1,0 + φ1,1 Yt−1 + . . . + φ1,p Yt−p1 + σ1 et , if Yt−d ≤ r
Yt = φ2,0 + φ2,1 Yt−1 + . . . + φ2,p2 Yt−p + σ2 et , if Yt−d > r.

where r is the threshold and d the delay.
Value
A list of class "TAR" which can be further processed by the by the predict and tsdiag functions.
Author(s)
Kung-Sik Chan
References
Tong, H. (1990) "Non-linear Time Series, a Dynamical System Approach," Clarendon Press Oxford
64 tar.sim
See Also
predict.TAR, tsdiag.TAR, tar.sim, tar.skeleton
Examples
data(prey.eq)
tar.sim Simulate a two-regime TAR model
Description
Simulate a two-regime TAR model.
Usage
tar.sim(object, ntransient = 500, n = 500, Phi1, Phi2, thd, d, p, sigma1,
sigma2, xstart = rep(0, max(p,d)), e)
Arguments
object a TAR model fitted by the tar function; if it is supplied, the model parameters
and initial values are extracted from it
ntransient the burn-in size
n sample size of the simulated series
Phi1 the coefficient vector of the lower-regime model
Phi2 the coefficient vector of the upper-regime model
thd threshold
d delay
p maximum autoregressive order
sigma1 noise std. dev. in the lower regime
sigma2 noise std. dev. in the upper regime
xstart initial values for the simulation
e standardized noise series of size equal to length(xstart)+ntransient+n; if missing,
it will be generated as some normally distributed errors
Details

tar.skeleton 65
Value
y simulated TAR series

e the standardized errors
...
Author(s)
Kung-Sik Chan
References
Tong, H. (1990) "Non-linear Time Series, a Dynamical System Approach," Clarendon Press Oxford
See Also
tar
Examples
set.seed(1234579)
y=tar.sim(n=100,Phi1=c(0,0.5),
Phi2=c(0,-1.8),p=1,d=1,sigma1=1,thd=-1,
sigma2=2)$y
plot(y=y,x=1:100,type='b',xlab="t",ylab=expression(Y[t]))
tar.skeleton Find the asympotitc behavior of the skeleton of a TAR model
Description
The skeleton of a TAR model is obtained by suppressing the noise term from the TAR model.
Usage
tar.skeleton(object, Phi1, Phi2, thd, d, p, ntransient = 500, n = 500,

xstart, plot = TRUE,n.skeleton = 50)
66 tar.skeleton
Arguments
object a TAR model fitted by the tar function; if it is supplied, the model parameters
and initial values are extracted from it
ntransient the burn-in size
n sample size of the skeleton trajectory
Phi1 the coefficient vector of the lower-regime model
Phi2 the coefficient vector of the upper-regime model
thd threshold
d delay
p maximum autoregressive order
xstart initial values for the iteration of the skeleton
plot if True, the time series plot of the skeleton is drawn
n.skeleton number of last n.skeleton points of the skeleton to be plotted
Details

Value
A vector that contains the trajectory of the skeleton, with the burn-in discarded.
Author(s)
Kung-Sik Chan
References
Tong, H. (1990) "Non-linear Time Series, a Dynamical System Approach," Clarendon Press Ox-
ford. "Time Series Analysis, with Applications in R" by J.D. Cryer and K.S. Chan
See Also
tar
Examples
data(prey.eq)
tar.skeleton(prey.tar.1)
tbone 67
tbone A digitized sound file of a B flat played on a tenor trombone
Description
A digitized sound file of about 0.4 seconds of a B flat just below middle C played on a tenor
trombone by Chuck Kreeb, a member of Tempered Brass and a friend of one of the authors.
Usage
data(tbone)
Format
Examples
data(tbone)
## maybe str(tbone) ; plot(tbone) ...
tempdub Monthly average temperature in Dubuque/time series
Description
Monthly average temperature (in degrees Fahrenheit) recorded in Dubuque 1/1964 - 12/1975.
Usage
data(tempdub)
Format
The format is: Time-Series [1:144] from 1964 to 1976: 24.7 25.7 30.6 47.5 62.9 68.5 73.7 67.9
61.1 48.5 ...
Source
http://mesonet.agron.iastate.edu/climodat/index.phtml?station=ia2364&report=16
Examples
data(tempdub)
## maybe str(tempdub) ; plot(tempdub) ...
68 tlrt
tlrt Likelihood ratio test for threshold nonlinearity
Description
Carry out the likelihood ratio test for threshold nonlinearity, with the null hypothesis being a nor-
mal AR process and the alternative hypothesis being a TAR model with homogeneous, normally
distributed errors.
Usage
tlrt(y, p, d = 1, transform = "no", a = 0.25, b = 0.75,...)
Arguments
y time series
p working AR order
d delay
transform available transformations: "no" (i.e. use raw data), "log", "log10" and "sqrt"
a lower percent; the threshold is searched over the interval defined by the a*100
percentile to the b*100 percentile of the time-series variable
b upper percent
... other arguments to be passed to the ar function which determines the Ar order,
if p is missing
Details
The search for the threshold parameter may be narrower than that defined by the user as the function
attempts to ensure adequate sample size in each regime of the TAR model. The p-value of the test
is based on large-sample approximation and also is more reliable for small p-values.
Value
test.statistic likelihood ratio test statistic
a the actual lower fraction that defines the interval of search for the threshold; it
may differ from the a specified by the user
b the actual upper fraction that defines the interval of search for the threshold
Author(s)
Kung-Sik Chan
Tsay.test 69
References
Chan, K.S. (1990). Percentage points of likelihood ratio tests for threshold autoregression. Journal
of Royal Statistical Society, B 53, 3, 691-696.
See Also
Keenan.test, Tsay.test
Examples
data(spots)
pvaluem=NULL
for (d in 1:5){
res=tlrt(sqrt(spots),p=5,d=d,a=0.25,b=0.75)
pvaluem= cbind( pvaluem, round(c(d,signif(c(res$test.statistic,
res$p.value))),3))
}
rownames(pvaluem)=c('d','test statistic','p-value')
pvaluem
Tsay.test Tsay’s Test for nonlinearity
Description
Carry out Tsay’s test for quadratic nonlinearity in a time series.
Usage
Tsay.test(x, order, ...)
Arguments
x time series
order working linear AR order; if missing, it will be estimated via the ar function by
minimizing AIC
... options to be passed to the ar function
Details
The null hypothesis is that the true model is an AR process. The AR order, if missing, is estimated
by minimizing AIC via the ar function, i.e. fitting autoregressive model to the data. The default
fitting method of the ar function is "yule-walker."
70 tsdiag.Arimax
Value
A list containing the following components
test.stat The observed test statistic

order working AR order
Author(s)
Kung-Sik Chan
References
Tsay, R. S. (1986), Nonlinearity test for time series, Biometrika, 73, 461-466.
See Also
Tsay.test,tlrt
Examples
data(spots)
Tsay.test(sqrt(spots))
tsdiag.Arimax Model Diagnostics for a Fitted ARIMAX Model
Description
This function is modified from the tsdiag function of the stats package.
Usage
## S3 method for class 'Arimax'
tsdiag(object, gof.lag, tol = 0.1, col = "red", omit.initial = TRUE,...)
Arguments
object a fitted ARIMAX model
gof.lag maximum lag used in ACF and Ljung-Box tests for the residuals
tol tolerance (default=0.1); see below
col color of some warning lines in the figures (default=red)
omit.initial suppress the initial (d+Ds) residuals if true
... other arguments to be passed to the acf function
tsdiag.TAR 71
Value
Side effects: Plot the time plot of the standardized residuals. Red dashed line at +/-qnorm(0.025/no
of data) are added to the plot. Data beyond these lines are deemed outliers, based on the Bonferronni
rule. The ACF of the standardized residuals is plotted. The p-values of the Ljung-Box test are
plotted using a variety of the first K residuals. K starts at the lag on and beyond which the moving-
average weights (in the MA(infinity) representation) are less than tol.
Author(s)
Kung-Sik Chan, based on the tsdiag function of the stats pacakage
Examples
data(color)
m1.color=arima(color,order=c(1,0,0))
tsdiag(m1.color,gof=15,omit.initial=FALSE)
tsdiag.TAR Model diagnostics for a fitted TAR model
Description
The time series plot and the sample ACF of the standardized residuals are plotted. Also, a portman-
teau test for detecting residual correlations in the standardized residuals are carried out.
Usage
## S3 method for class 'TAR'
tsdiag(object, gof.lag, col = "red",xlab = "t", ...)
Arguments
object a fitted TAR model output from the tar function
gof.lag number of lags of ACF to be examined
col color of the lines flagging outliers, etc.
xlab x labels for the plots
... any additional user-supplied options to be passed to the acf function
Value
Side effects: plot the time-series plot of the standardized residuals, their sample ACF and portman-
teau test for residual autocorrelations in the standardized errors.
Author(s)
Kung-Sik Chan
72 tuba
References
See Also
tar
Examples
data(prey.eq)
tsdiag(prey.tar.1)
tuba A digitized sound file of a B flat played on a BB flat tuba
Description
A digitized sound file of about 0.4 seconds of a B flat an octave and one whole step below middle
C played on a BB flat tuba by Linda Fisher, a member of Tempered Brass and a friend one of the
authors.
Usage
data(tuba)
Format
Examples
data(tuba)
## maybe str(tuba) ; plot(tuba) ...
units 73
units Annual sales of certain large equipment
Description
Annual sales of certain large equipment, 1983 - 2005.
Usage
data(units)
Format
The format is: ts [1:24, 1] 71.7 78.6 111.1 125.6 133.0 ... - attr(*, "tsp")= num [1:3] 1982 2005 1 -
attr(*, "dimnames")=List of 2 ..$ : NULL ..$ : chr "Units"
Source
Proprietary sales data from a large international company
Examples
data(units)
## maybe str(units) ; plot(units) ...
usd.hkd Daily US Dollar to Hong Kong Dollar Exchange Rates
Description
Daily USD/HKD (US dollar to Hong Kong dollar) exchange rate from January 1, 2005 to March 7,
2006
Usage
data(usd.hkd)
Format
A data frame with 431 observations on the following 6 variables.
r daily returns of USD/HKD exchange rates
v estimated conditional variances based on an AR(1)+GARCH(3,1) model
hkrate daily USD/HKD exchange rates
outlier1 dummy variable of day 203, corresponding to July 22, 2005
outlier2 dummy variable of day 290, another possible outlier
day calendar day
74 veilleux
Source
http://www.oanda.com/convert/fxhistory
References
Examples
data(usd.hkd)
## maybe str(usd.hkd) ; plot(usd.hkd) ...
veilleux An experimental prey-predator time series
Description
A data frame consisting of bivariate time series from an experiment for studying prey-predator
dynamics. The first time series consists of the numbers of prey individuals (Didinium natsutum)
per ml measured every twelve hours over a period of 35 days; the second time series consists of the
corresponding number of predators (Paramecium aurelia) per ml.
Usage
data(veilleux)
Format
The format is: mts [1:71, 1:2] 15.7 53.6 73.3 93.9 115.4 ... - attr(*, "dimnames")=List of 2 ..$ :
NULL ..$ : chr [1:2] "Didinium" "Paramecium" - attr(*, "tsp")= num [1:3] 0 35 2 - attr(*, "class")=
chr [1:2] "mts" "ts"
Source
http://www-personal.buseco.monash.edu.au/~hyndman/TSDL/
References
Veilleux (1976) "The analysis of a predatory interaction between Didinium and Paramecium", Mas-
ters thesis, University of Alberta.
Jost & Ellner (2000) "Testing for predator dependence in predator-prey dynamics: a non-parametric
approach", Proceedings of the Royal Society of London B, 267, 1611-1620.
Examples
data(veilleux)
## maybe str(veilleux) ; plot(veilleux) ...
wages 75
wages Average hourly wages in the apparel industry / time series
Description
Average hourly wages in the apparel industry, from 07/1981 - 06/1987.
Usage
data(wages)
Format
The format is: Time-Series [1:72] from 1982 to 1987: 4.92 4.96 5.04 5.05 5.04 5.04 5.18 5.13 5.15
5.18 ...
Source
Cryer, J. D. Time Series Analysis, Duxbury Press, 1986.
Examples
data(wages)
## maybe str(wages) ; plot(wages) ...
winnebago Monthly unit sales of recreational vehicles / time series
Description
Monthly unit sales of recreational vehicles from Winnebago, Inc., Forrest City, Iowa, from 11/1966
- 02/1972.
Usage
data(winnebago)
Format
Source
Roberts, H. V., Data Analysis for Managers with Minitab, second edition, The Scientific Press,
1991.
76 zlag
Examples
data(winnebago)
## maybe str(winnebago) ; plot(winnebago) ...
zlag Compute the lag of a vector.
Description
Computes the lag of a vector, with missing elements replaced by NA
Usage
zlag(x, d= 1)
Arguments
x vector
d compute the lag d of x
Value
A vector whose k-th element equals x[k-d] with x[t]=NA for t<=0
Author(s)
Kung-Sik Chan
Examples
##---- Should be DIRECTLY executable !! ----
##-- ==> Define data, use random,
##--or do help(data=index) for the standard data sets.
x=1:5
zlag(x,2)
Index
∗Topic datasets retail, 52

airmiles, 5 robot, 53
airpass, 6 rwalk, 55
ar1.2.s, 6 SP, 58
ar1.s, 7 spots, 60
ar2.s, 8 spots1, 61
arma11.s, 13 star, 61
beersales, 15 tbone, 67
bluebird, 15 tempdub, 67
bluebirdlite, 16 tuba, 72
boardings, 17 units, 73
co2, 18 usd.hkd, 73
color, 19 veilleux, 74
CREF, 19 wages, 75
cref.bond, 20 winnebago, 75
days, 20 ∗Topic methods
deere1, 21 acf, 4
deere2, 21 arima, 8
deere3, 22 arima.boot, 10
eeg, 26 arimax, 11
electricity, 27 ARMAspec, 13
euph, 27 armasubsets, 14
explode.s, 28 BoxCox.ar, 17
flow, 29 detectAO, 22
gold, 31 detectIO, 24
google, 32 eacf, 25
hare, 33 fitted.Arima, 28
hours, 34 garch.sim, 29
ima22.s, 35 gBox, 30
JJ, 35 harmonic, 33
larain, 39 Keenan.test, 36
ma1.1.s, 40 kurtosis, 37
ma1.2.s, 41 lagplot, 38
ma2.s, 41 LB.test, 39
milk, 43 McLeod.Li.test, 42
oil.price, 43 periodogram, 44
oilfilters, 44 plot.Arima, 45
prescrip, 49 plot.armasubsets, 47
prey.eq, 51 predict.TAR, 48
77
78 INDEX
prewhiten, 50 deere3, 22
qar.sim, 51 detectAO, 22
rstandard.Arima, 54 detectIO, 23, 24, 24
runs, 54
season, 56 eacf, 25
skewness, 57 eeg, 26
spec, 58 electricity, 27
summary.armasubsets, 62 euph, 27
tar, 62 explode.s, 28
tar.sim, 64
fitted.Arima, 28
tar.skeleton, 65
flow, 29
tlrt, 68
Tsay.test, 69 garch.sim, 29
tsdiag.Arimax, 70 gBox, 30
tsdiag.TAR, 71 gold, 31
zlag, 76 google, 32
∗Topic misc
plot1.acf, 48 hare, 33
∗Topic package harmonic, 33, 56
TSA-package, 3 hours, 34
acf, 4 ima22.s, 35
airmiles, 5
airpass, 6 JJ, 35
ar1.2.s, 6
ar1.s, 7 Keenan.test, 36, 69
ar2.s, 8 kurtosis, 37
arima, 8, 9, 12, 29 lagplot, 38
arima.boot, 10 larain, 39
arimax, 11 LB.test, 39
arma11.s, 13
ARMAacf, 5 ma1.1.s, 40
ARMAspec, 13 ma1.2.s, 41
armasubsets, 14 ma2.s, 41
McLeod.Li.test, 42
beersales, 15 milk, 43
bluebird, 15
bluebirdlite, 16 oil.price, 43
boardings, 17 oilfilters, 44
BoxCox.ar, 17
periodogram, 44
co2, 18 plot.acf, 5
color, 19 plot.Arima, 45
CREF, 19 plot.armasubsets, 47
cref.bond, 20 plot1.acf, 48
predict.TAR, 48, 64
days, 20 prescrip, 49
deere1, 21 prewhiten, 50
deere2, 21 prey.eq, 51
INDEX 79
qar.sim, 51
retail, 52
robot, 53
rstandard.Arima, 54
runs, 54
rwalk, 55
season, 34, 56
skewness, 57
SP, 58
spec, 14, 58
spots, 60
spots1, 61
star, 61
summary.armasubsets, 62
tar, 49, 62, 65, 66, 72

tar.sim, 52, 64, 64
tar.skeleton, 64, 65
tbone, 67
tempdub, 67
tlrt, 36, 68, 70
TSA (TSA-package), 3
TSA-package, 3
Tsay.test, 36, 69, 69, 70
tsdiag.Arimax, 70
tsdiag.TAR, 64, 71
tuba, 72
units, 73
usd.hkd, 73
veilleux, 51, 74
wages, 75
winnebago, 75
zlag, 76

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Package ‘TSA’

June 30, 2018

TSA-package Time Series Analysis

Kung-Sik Chan, Brian Ripley

acf Auto- and Cross- Covariance and -Correlation Function Estimation

acf(x, lag.max = NULL, type = c("correlation", "covariance", "partial")[1],

x a univariate or multivariate (not ccf) numeric time series object or a numeric

airmiles Monthly Airline Passenger-Miles in the US

airpass Monthly total international airline passengers

ar1.2.s A simulated AR(1) series

ar1.s A simulated AR(1) series

A simulated AR(1) series with the AR coefficient equal to 0.9.

ar2.s Asimulated AR(2) series / time series

arima Fitting an ARIMA model with Exogeneous Variables

arima.boot Compute the Bootstrap Estimates of an ARIMA Model

arima.boot(arima.fit, cond.boot = FALSE, is.normal = TRUE, B = 1000, init, ntrans = 100)

arimax Fitting an ARIMA model with Exogeneous Variables

fixed a vector indicating which coefficients are fixed or free

arma11.s A Simulated ARMA(1,1) Series/ time series

ARMAspec Theoretical spectral density function of a stationary ARMA model

theta=.9 # Reset theta for other MA(1) plots

armasubsets Selection of Subset ARMA Models

beersales Monthly beer sales / time series

bluebird Blue Bird Potato Chip Data

bluebirdlite Bluebird Lite potato chip data

A data frame with 104 observations on the following 2 variables.

log.sales a numeric vector

boardings Monthly public transit boardings and gasoline price in Denver

BoxCox.ar Determine the power transformation for serially correlated data

lambda candidate power transformation parameter values

co2 Levels of Carbon Dioxide at Alert, Canada / Time series

color Color property/time series

CREF Daily CREF Values

cref.bond Daily CREF Bond Values

days Number of days between payment to Winegard Corp. / time series

deere1 Deviations of an industrial process at Deere \& Co. – Series 1

deere2 Deviations of an industrial process at Deere \& Co. – Series 2

deere3 Deviations of an industrial process at Deere \& Co. – Series 3

detectAO Additive Outlier Detection

object a fitted ARIMA model

A list containing the following components:

ind the time indices of potential AO

detectIO Innovative Outlier Detection

detectIO(object, alpha = 0.05, robust = TRUE)

object a fitted ARIMA model

A list containing the following components:

ind the time indices of potential AO

eacf Compute the sample extended acf (ESACF)

eacf a matrix of sample extended ACF

eeg EEG Data

electricity Monthly US electricity production / time series

euph A digitized sound file of a B flat played on a euphonium

explode.s A simulated explosive AR(1) series

fitted.Arima Fitted values of an arima model.

flow Monthly River Flow for the Iowa River

garch.sim Simulate a GARCH process

Simulate a GARCH process.

garch.sim(alpha, beta, n = 100, rnd = rnorm, ntrans = 100,...)