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This is the changelog for

astsa

more than just data ... it's a palindrome

... astsa is the R package to accompany Time Series Analysis and Its Applications: With R Examples and Time Series A Data Analysis Approach using R.

The GitHub version is updated before the CRAN version. To update the package to the most recent working version, you just need the following two lines:

install.packages("remotes")   # if you don't have the package already
remotes::install_github("nickpoison/astsa/astsa_build")

If astsa is loaded, then detach it first: detach(package:astsa). If you get a warning to install Rtools, ignore it. After successful installation, don't forget to reload astsa. If you get an error, just restart R and reload astsa.

💡 You can also install astsa from the archive (which is always current): astsa_2.1+.tar.gz. Download it (there's a download ⇩  button) and in R, use Install package(s) from local files... from the Packages tab.

🐤 You can find a short guide to astsa scripts right here at FUN WITH ASTSA .

✨ Here is A Road Map if you want a broad view of what is available.

▶ v2.2 ... in progress

should be available on cRan by the time edition 5 is published (Dec 2024)

  • lag1.plot and lag2.plot got little facelifts.

  • in tsplot, if spaghetti=TRUE, added the ability to include a simple legend (so you don't have to use legend). An example is in the help file.

  • changed sarima so it works for tiny sample sizes (thought about including a "tiny" warning, but the sample SEs will be ginormous - that should be warning enough)

  • added pre.white to do cross-correlation analysis with automatic prewhitening

  • arma.spec gets better default title and sarima.for gets a ylab option.

  • added lap.xts (an xts object), which contains the original daily observations from the LA Pollution-Mortality study. How to easily get weekly averages is given in the examples section of the man page.

  • for trend, if results=TRUE a summary of the regression (if used) results is printed

  • the scripts and data sets that were marked 'x' have been removed to here ... they won't be included in the next version.

  • dna2vector was updated (😡 due to change in a base R script) - previous versions might not work

  • in mvspec set fxx to NULL in univariate case ... and in the call, if demean=TRUE (default is FALSE) detrend is set to FALSE; i.e., demean=TRUE sets detrend=FALSE.

  • added gtemp.month (monthly global data 1975-2023) -- rows are month, columns are year to make it easy to plot as monthly functional data

Version 2.1 - Jan 2024 (on CRAN) - current version

  • added SV.mle to fit an SV model [with feedback (aka leverage) if desired] via quasi-MLE. Details are in the help file. SVfilter is now part of SV.mle and the original script is now in the xBox as xSVfilter.

  • tsplot becomes more kick-ass with full control of the Grid

  • sarima - prettified the output

  • added MEI (Multivariate ENSO Index) data set

  • SV.mcmc moved ESS display to the ACFs

  • test.linear gets a title (main) control

  • adjustment to Kfilter(... , version=2) - if the errors are Q½ wt and R½ vt then S = cov(wt, vt), the Q½ and R½ are already included in the script. Often in this case wt = vt and both are iid N(0, I) sequences, so S = diag(1, q), the q x q identity matrix.

  • made acf1 more flexible

  • minor visual improvements to SigExtract

  • increased the default max order and made detrend default on spec.ic

  • improvements to mvspec like allow detrending via lowess and some other visual improvements like a gris-gris option, enhancing the voodoo grammar of astsa

  • updated cardox to 2023

  • added ar.boot to get the bootstrapped distributions of the parameters of a specified (by the order) AR model.

  • added option in trend to plot (or not) the CIs - default is to plot (ci=TRUE).

  • updated global temperature data sets and put all the old ones into the x box to be deleted (eventually) ... gtemp_land, gtemp_ocean, and gtemp_both are the updated/new sets

  • updated gnp and gdp in sets GNP and GDP.

  • added US population data (USpop) ... we thought it was in already, now it is

Version 2.0 - Jan 2023 (on CRAN)

Note There are a number of new scripts and some old ones are set to be retired eventually.

  • Added autoSpec for changepoint detection using local nonparametric spectra.

    • Also added the data set ENSO which is the most recent update to SOI (an older version was used the paper that introduced autoSpec).

    • The script uses the Bartlett kernel so it was made available for general use; see bart.

  • Also added autoParm for changepoint detection using local AR models.

✄   Some examples are in FUN WITH ASTSA - structural breaks.

🔸🔸🔸🔸🔸

  • Added Kfilter and Ksmooth which are faster than the older Kfilter0-1-2 and Ksmooth0-1-2, are easier to work with, and removes the need for 3 different scripts.

  • Added EM which supersedes EM0 and EM1 and uses the quicker Kfilter and Ksmooth scripts. In addition, the script now accepts inputs in both the state and observations equations.

Warning the old script names EM0-1, Kfilter0-1-2, and Ksmooth0-1-2 have an x in front of them now: xEM0-1, xKfilter0-1-2, and xKsmooth0-1-2. The scripts haven't changed (old scripts will still work with the x name change), but they will be phased out eventually. Converting code that used the old scripts to use the newer scripts should be easy with only a few minor changes in the call.

🔸🔸🔸🔸🔸

  • Updated (to run with the new Kfilter and Ksmooth scripts):

    • the Forward Filtering Backward Sampling script (ffbs) and
    • the simple univariate state space model (ssm) script

  • Updated data files gtemp_land and gtemp_ocean to 2021

  • Made lag1.plot and lag2.plot look more purty.

Version v1.16 - Sept 2022 (on CRAN)

  • Added Months to use with pch for monthly data; see the help file ?Months.

  • Tweaked tsplot by adding the ability to adjust the mpg graphics parameters settings (?par); see the help file ?tsplot.

  • A tsplot plot can now be stored by putting it in an object; e.g., pl = tsplot(soi). Later, entering pl will restore the graph and it's possible to add to it (made possible by recordPlot).

  • Added some Bayesian scripts (examples in FUN WITH ASTSA - see the new section 9)

    • Added ar.mcmc to fit AR models via Gibbs sampling

    • Added SV.mcmc to fit stochastic volatility models

    • ... and some financial data sets sp500.gr (S&P 500 daily returns) and BCJ (returns of 3 banks)

    • Added ffbs (forward filter backward sample algorithm) for linear state space models

    • Added ESS to estimate the effective sample size

    • Added a line to detrend to make sure the input series is univariate (already there in trend). Also, in trend, forgot to add the span option for lowess (actually stats::loess with a robust option) - this has been corrected.

    • Added the ability to change the legend text color in lag1.plot and lag2.plot and set the default to black - it makes the values easier to see, especially if the background of the legend is transparent.

Version 1.15 - May 2022

  • v1.15 is v1.14.3 plus the following 2 additions and (of course) minor changes to appease the CRAN warlords:

    • Added two new scripts detrend() and trend(). The first one returns a detrended series using a polynomial regression (default is linear) or lowess (with the default span). The second script fits a trend (same options as detrend) and produces a graphic of the series with the trend and error bounds superimposed. The trend and error bounds are returned invisibly.

Versions 1.14 - Sept 2021

  • v1.14.3 (Dec 2021)

    • Added sleep state and movement data (sleep1 and sleep2) - more details in the help files.

    • Added option to specify a kernel in specenv and if spans and kernel are both NULL, the spectral envelope will be based on the periodogram. Also changed the way it checks if section is a proper sequence and added option to taper the data prior to estimating spectra.

    • Some minor changes:

      • In matrixpwr changed isSymmetric(A) to isSymmetric(unname(A)) because a symmetric matrix is not taken as such if the column and row names are not the same.

      • In arma.spec if there is near parameter redundancy, ylim is now adjusted so the figure will be close to the white noise (uniform) density.

  • v1.14 (Sept 2021) Just in time for a new skool year - v1.14 is on CRAN - it is v1.13.2 with minor changes to please the CRAN gods.

Versions 1.13 - May 2021

  • v1.13.2 (Aug 2021) Added acfm for multiple time series. Produces a matrix of plots of sample ACFs on the diagonal and sample CCFs on the off-diagonals. It's just a nicer version of acf for multiple time series.

    • Also, changed the LAG axis labels on acf1, acf2, and ccf2 to show the frequency of the series if it's bigger than one. For example, soi has frequency 12 and the LAG axis of acf1(soi) will be ticked as 1, 2, 3, ... but the label now emphasizes that each tick is LAG divided by 12.

  • v1.13.1 (July 2021) Some minor improvements to tsplot-spaghetti, sarima.sim, sarima, and arma.spec.

    • For sarima.sim, I forgot to add the innov argument in the call (only a problem if you wanted to use your own innovations), but it seemed to work in the examples I tried (maybe it got passed in ...) ¿Quién sabe? Or maybe it was just voodoo.

    • Updated some man page (adding sources and subtracting typos).

  • v1.13 is on CRAN. There are lots of additions to the package that are listed below.

Versions 1.12 - started Dec 2020

1.12.9 (GitHub - May 2021)

  • Added scatter.hist to draw a scatterplot with marginal histograms - never really liked other versions.

  • Minor updates to tsplot, SigExtract and LagReg to improve the displays.

  • Added scripts for the analysis of DNA sequences and other categorical time series: specenv, dna2vector, and the data set EBV. And specenv can also handle real-valued series.

  • dna2vector is used to preprocess a categorical sequence.

  • EBV is the entire Epstein-Barr sequence as a long single string. It's not useful on its own, but thru dna2vector, different regions can be explored via specenv.

  • We needed powers of matrices enough where we thought we'd include it in astsa. The script is called matrixpwr and includes %^% as a more intuitive operator. For example, var(econ5)%^%-.5 to calculate an inverse square root matrix.

  • Added test.linear, a script to test the null hypothesis that the data are generated from a linear process with iid innovations.

  • Updated Grid, tsplot, sarima.sim, and mvspec.

    • Grid and tsplot will produce grid lines at the minor ticks. These can be shut off individually on either axis.

    • For sarima.sim, now allow seasonal period without having to specify other seasonal parameters - doing so gives a message to make sure you're doing it on purpose, whereas it used to stop the execution. There's an example of the advantage of this in its man page.

    • For tsplot and mvspec, by default now, there is one minor tick on the x-axis and none on the y-axis. Also, mvspec doesn't display the bandwidth on the axis - it's still there in the CI if the plot is on log-scale and it's still part of the "spec" object.

    • Also, updated tsplot so multiple series can have different plot symbols (pch), e.g., tsplot(blood, type='o', col=2:4, pch=2:4, cex=2)

  • Prettified arma.spec, lag1.plot, lag2.plot, sarima, and sarima.for, using the awesome power of tsplot, but no need to change existing code.

  • Updated tsplot to allow for spaghetti plots:
    x <- replicate(100, cumsum(rcauchy(1000))/1:1000)
    tsplot(x, col=1:8, spaghetti=TRUE)

  • The package now has its own color palette that is attached when the package is attached. The palette is especially suited for plotting time series. It is a bit darker than the new default R4 palette. You can revert back using palette("default").

    • In addition, added astsa.col script to easily adjust opacity of the astsa color palette - examples on its man page.

  • Improvements to acf1, acf2, and ccf2 employing the power of tsplot to give some kickass displays. For example, acf2(soi, col=4, lwd=3, gg=TRUE).

  • sarima.sim output used to start at time 0 - now the start time is up to the user (with default t0=0).

1.12 (CRAN - Dec 2020) The main change was to add a simulation script sarima.sim for seasonal ARIMA models.

Version 1.11 -- in the garbage

   keep moving ... nothing to see here

Versions 1.10 - May 2020

1.10.6 (Nov 2020 - Github)

  • added sarima.sim to simulate data from (possibly seasonal) ARIMA models ... as usual, it has simplified astsa syntax - the model is specified by the parameters, no lists are needed. The script uses polyMul (also added) to obtain the appropriate autoregessive and moving average polynomials from the specified model.

  • Changed any script that used colors as numbers to color names (due to change in R v4 palettes).

  • added PACF option to acf1 so you can see the PACF alone

  • added plot option in sarima.for.

  • added spec.ic which is similar to spec.ar but has option to base the AR spectral estimate on BIC and to detrend before the fit.

  • fixed tsplot - the minor ticks weren't changing on multiple plots

1.10 (May 2020 - CRAN) Since Version 1.9, see the updates 1.9.1-4 below. The major change was to fix routines that produced graphics but didn't work on Apple's OS. In addition, I made tsplot even more useful:

  • For tsplot, I added an argument (byrow) where you can plot row wise (TRUE) or column wise (FALSE) for multiple plots.

  • Also, for tsplot, added an argument gg so if it's true the plot will have a g-gray interior ... e.g., tsplot(climhyd, ncolm=2, gg=TRUE, col=rainbow(6,v=.8), lwd=2)

Versions 1.9 - May 2019

1.9.4

  • Added the polio data (polio) set from the gamlss.data package. It is used in Chapter 6 problems. I added it because gamlss.data has data sets with names that are the same as those in astsa. I hate to see package fights.

1.9.3

  • Updated correlation scripts:

    • for acf1 and acf2, plot=TRUE prints rounded values, but if plot=FALSE the returned values are not rounded by the scirpt.

    • and ccf2, the values are now returned invisibly.

1.9.2

  • Updated mvspec due to possible plot error being caused by use of panel.first (tries to draw grid before plot is called on some machines or OS). Note to self: avoid panel.first dumb ass.

  • Updated arma.spec to avoid same problem as mvspec

  • While I'm here, updated tsplot to avoid similar problems.

1.9.1

  • added the ability of tsplot to do multiple plots, for example,
    tsplot(eqexp[,1:8], col=rainbow(8), ncolm=2, lwd=2, main='EQs')
    - there's no change for univariate time series.

  • added ellipses ( … ) to lag1.plot and lag2.plot so you can change some of the graphical parameters; e.g., lag1.plot(soi, max.lag=4, pch=20, cex=1.5, col=rgb(0,.5,1,.5))

  • fixed some man pages (after cRan submission)

1.9 (CRAN - May 2019)

  • This version is essentially version 1.8.8 but with changes made to pass the CRAN tests, which mainly deal with the man pages (help files).

  • For the Springer text, you can see the difference between v1.8 and v1.9 by looking at the changelog below v1.8.8. Some scripts have added capabilities, but it won't change any data analysis. The only real difference will be slight numerical differences in the reported ICs in sarima.

Versions 1.8 - Dec 2017

1.8.8

  • Fixed β reporting for LagReg() when inverse=TRUE... it is correct in the text example.

  • Added ability to fix parameters in sarima() and sarima.for(). Works just like it does in the stat package arima() but transform.pars is set to FALSE automatically if parameters are fixed.

  • Added a little explanation of how ICs are calculated in the sarima() man page.

1.8.7 Added Grid() combining grid(lty=1, col=gray(.9)) and minor.ticks() from Graphics and Hmisc packages. It's used in most scripts that used to call grid().

1.8.6 Added ssm() for fitting a simple univariate state space model. This will be used in the forthcoming text.

1.8.5

  • lag1.plot and lag2.plot now have color option for the points with default gray(.1) for a little nicer display
  • added cardox data set, an update to co2 in the datasets package, which stopped in 1997 (now to the end of 2018)
  • tweaked sarima residual analysis graphic so it has less white space - nothing else has changed

1.8.4 changed mvspec and arma.spec so the default is NOT to plot on a log scale and the graphics now have a grid ... also, for mvspec, added a details value, which is a matrix of frequency, period, spectral ordinate- e.g., mvspec(soi)$details[1:45,]

1.8.3 changed calculation of the ICs in sarima ... there will be a slight difference because I didn't remove the log(2π) part.

1.8.2 (basically adding some new data sets)

  • added US GDP - quarterly adjusted to 1947-1 to 2018-3
  • slight change to acf1 and acf2 so user can change ylim
  • Hare and Lynx the 90-year data sets of snowshoe hare and lynx pelts purchased by the Hudson's Bay Company of Canada - note Lynx differs from the R data set lynx.
  • gtemp_land land only - updated global temps to 2017
  • gtemp_ocean open ocean only to 2017
  • added data set salmon
  • added source of data to gnp man page
  • added plot option to acf1 with default TRUE and a few additional minor changes

1.8.1 minor change to the way acf2 calls main (cleaner) - this was done at the beginning of v1.8 - it just never made it to CRAN

Time Series Analysis and Its Applications With R Examples -- Edition 4 was written under this version.

  • Version 1.8 is on CRAN

  • Version 1.8.1 is here on GitHub.

  • These versions are essentially version 1.7.11 but with some minor changes to satisfy the CRANks. Also, the GitHub version is slightly improved, so call it v1.8.1. The changes are things no one would notice in places where no one looks.

Versions 1.7 - Dec 2016

★ Just for historical record, version 1.7 was when CRAN maintainers got CRANky and started asking for arbitrary changes that no one would notice. I'm talking about asking to change one word in the DESCRIPTION file kind of stupid stuff. This is when the GitHub versions started.

1.7.11.

  • added ARMAtoAR to give the pi-weights in the invertible representation of an ARMA model ... this is included mainly for pedagogical reasons

  • changed the max.lag default in acf1 and acf2 so if the series is seasonal, you'll see at least 4 seasons by default ... I got tired of typing acf2(soi, 48) in class ... now acf2(soi) is the same.

1.7.10. in sarima.for, added the option to include regressors in the forecast

1.7.9. changed na.action to na.pass in acf1, acf2, and ccf2... these used to be na.fail which is the R stats package default

1.7.8. updated tsplot so the time index can be changed

1.7.7. added tsplot to give a nice plot of a univariate time series in one easy command ... works like plot for a ts object.

1.7.6. added ccf2, which plots the sample CCF of two series... it operates like ccf but the graphic is nicer

1.7.5. added acf1 giving the sample ACF of a series without the zero lag... it operates like acf2 but doesn't give the PACF

1.7.4. added data set hor, quarterly Hawaiian Occupancy Rate (% of rooms)

1.7.3. some additons to acf2 allowing a plot title change, and an option not to produce a graphic (if you only want to use or see the values in a nice form)

1.7.2. added plot.all option to sarima.for so that if TRUE, all the data are plotted in the graphic; otherwise, only the last 100 observations are plotted. The default is plot.all=FALSE because it's easier to see the forecasts if only 100 observations are plotted.

1.7.1. minor changes to sarima

  • diagnostic QQplot used to depend on MASS package until it gave warnings on some simple examples ... now it's done "inhouse"
  • changed degrees of freedom calculation (wasn't sure the commands I used to get it were correct... now I'm sure).
  • made details=FALSE also shut off the diagnostic plot, so if you run
    dog <- sarima(cmort, 1,1,1, details=FALSE)
    then everything (except the graphic) is stored in dog and you won't see any output.

1.7 On CRAN Dec 2016

  • fixed x0n and P0n in Ksmooth0 and Ksmooth1 (minor fix)

  • add box() after grid() on some graphics because the grid was overplotting the box =(

  • added title option to sarima() diagnostic plots indicating model orders (there by default) ... now if you fit a few models, it's easy to see which diagnostic plot goes with which model...

  • ... also added pointwise 99.9% confidence bounds to the innovations diagnostic QQ-plot based on asymptotic distn of iid normal order statistics ... and some minor tweaks to the Q-stat plot

  • now show ±1 and ±2 root MSPE bounds to sarima.for() and used transparent ribbons to display all error bounds because you can't be too pretty

  • added time series cpg (annual median cost per GB of storage) for an easy regression with autocorrelated errors exercise

  • added time series UnempRate, which can be taken as an update to unemp (still there) - the data are monthly US unemployment rate (% unemployed) from 1948 to Nov 2016.

Version 1.6 - October 2016

  • added series globtemp and globtempl ... they are updates to the global temperature deviation series gtemp and gtemp2, respectively. globtempℓ is land only. gtemp and gtemp2 are still in astsa so as not to cause problems - the temperature data sets were reformulated in 2011 so the series do not match up in the overlapping time frame - see the help file for more info

  • added new series chicken ... the price of chicken, which is a decent example of trend stationarity

Version 1.5 - August 2016

  • needed a minor fix to acf2, so while I'm here:

  • minor tweaks to acf2 and sarima.for displays

  • added xts dataset djia (Dow Jones) so don't need internet connection to use it (or Yahoo now that Verizon owns it - who knows what will happen???)

  • listed p-values in sarima ttable because t-tables and p-values go together like horses and carriages, and were popular together around the same time.

Version 1.4 - July 2016

  • sarima has a t-table now (no p-values)

  • data set ar1boot is gone (example uses simulated data)

  • minor tweaks to lag1.plot and lag2.plot displays

  • added sp500w ... an xts data set, S&P500 weekly returns

  • updated man pages for new edition

Version 1.3 - Nov 2014

  • sarima now allows inclusion of xreg to facilitate regression with autocorrelated errors

  • fixed acf2 so grid is under plot

  • star data added

  • sunspotz man page emphasizes data are 2 times/year

  • fixed estimate of cov( vt ) = R in EM0 and EM1 (t=1 part was missing)

  • fixed typo in EMx missing code (0=observed, 1=missing)

  • EM1 fixed so inputs are not allowed (and no longer included in the call):

    • Inputs are not allowed. The script uses Ksmooth1, but everything related to inputs are set equal to zero. That was the original intent of this script.

    • It would be relatively easy to include estimates of Ups and Gam because conditional on the states, these are just regression coefficients. If you decide to alter EM1 to include estimates of the Ups or Gam, feel free to notify me with a working example and I'll include it in the next update (assuming it's correct, of course). Instructors... this would bean awesome class project.

Version 1.2 - March 2014

  • Fixed man page for the scripts stoch.reg and for the Kfilters and Ksmooths

  • acf2 can take additional acf arguments like na.action=na.omit ...

  • acf2 max vertical axis was always 1; now it depends on data

  • acf2 now has grid lines

  • FDR man entry corrected

  • Kfilter1; changed Ups and Gam == 0 case to match Kfilter2s appropriate method

  • astsadata() is gone, LazyData: true instead

Version 1.1 - July 2012

  • Associated namespace with all but 'base' function calls

  • Added data set blood (based on code in Example 6.1) as an mts object of the Jones data set with NA as missing data code. Example 6.9 still uses 0 for missing data.

  • Added links to related data sets in some man pages (e.g., oil <-> gas ...)

  • Added astsadata.R option to load all the data sets at once.

  • Changed mvspec.R so it could be used in place of spec.pgram and spectrum. The defaults are similar now to spec.prgram, but the default is not to taper, forcing the user to think about it. It also returns the book's more useful definition of bandwidth.

Version 1.0 - June 2012

  • astsa built from tsa3.rda (which is gone now) with the following changes:
in astsa was in tsa3
arma.spec() ... spec.arma()
lag1.plot() ... lag.plot1()
lag2.plot() ... lag.plot2()

Version 0.4 - 2010

For the 3rd edition of the text, we included data and scripts as a compressed file called tsa3.rda and the basic version of ASTSA was abandoned. Two years later, tsa3.rda was abandoned.

Version 0.3 - 2005

The second edition of the text, which included the subtitle With R Examples was when we started giving R code in the text and writing R scripts to compensate for the fact that S and consequently R provided scripts for time series as an afterthought. Still, much of the analysis in the text was done using Matlab.

Version 0.2 - 2000

The first edition of Time Series Analysis and Its Applications used an updated version of the basic ASTSA and it was distributed on the website for that version: Edition 1 site. You had to extract the files to a floppy (3.5" by that time) and then install ASTSA.

Version 0.1 - 1988

floppy

The first version of ASTSA was developed by R.H. Shumway for the new text Applied Statistical Time Series Analysis published by Prentice Hall. The package was written in Microsoft basic and was distributed on a 5.25" floppy disk that was included with the text.

The instruction manual has been preserved for historical purposes: http://www.stat.pitt.edu/stoffer/astsaman.pdf