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.
You can install the stable version on R CRAN.
install.packages('forecast', dependencies = TRUE)You can install the development version from Github
# install.packages("devtools")
devtools::install_github("robjhyndman/forecast")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 %>%
autoplotThis package is free and open source software, licensed under GPL (>= 3).