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#forecast

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.

Installation

You can install the stable version on R CRAN.

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

You can also install the development version from Github

# install.packages("devtools")
library(devtools)
install_github("robjhyndman/forecast")

Usage

library(forecast)

# ETS forecasts
fit <- ets(USAccDeaths)
plot(forecast(fit))

# Automatic ARIMA forecasts
fit <- auto.arima(WWWusage)
plot(forecast(fit, h=20))

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

# Forecasting with STL
tsmod <- stlm(USAccDeaths, modelfunction=ar)
plot(forecast(tsmod, h=36))

plot(stlf(AirPassengers, lambda=0))

decomp <- stl(USAccDeaths,s.window="periodic")
plot(forecast(decomp))

# TBATS forecasts
fit <- tbats(USAccDeaths, use.parallel=FALSE)
plot(forecast(fit))

taylor.fit <- tbats(taylor)
plot(forecast(taylor.fit))

License

This package is free and open source software, licensed under GPL (>= 2).