Time Series Tools

Functions for statistics, time series analysis and ARIMA models

Usage

Install:

npm install

to run the tests:

npm test

Run jshint and uglify using grunt:

grunt

For server applications, modules can be required and on the client side simply use:

<script type="text/javascript" src="dist/time-series-tools.js"></script>
<script>
  var mean = tstModule.statistics.avg([10, 7.7, 14.5]); //=> 10.733333
</script>

Planned features

I'm aiming for 100% test coverage and the following features:

Summary statistics

• mean Done
• median Done
• range
• interquartile range
• standard deviation Done
• variance Done
• covariance
• skewness
• kurtosis
• maximum
• minimum
• sum

Fitting & regression

• fit linear model Done
• quadratic regression
• fit exponential model

R functions

• lagged time series lag(ts, k)
• difference the time series diff(ts) Done
• autocorrelation acf(ts)
• partial autocorrelation pacf(ts)
• exponential smoothing state space model (forecast) ets(ts)
• simple exponential smoothing ses(ts) Done

Time-series specific

• trend detection
• seasonality detection
• outlier detection
• detect if variance changes over time

ARIMA related

• ARIMA(1,0,0) first-order autoregressive model
• ARIMA(0,1,1) simple exponential smoothing
• ARIMA(1,1,1) mixed

apply or map style functions

• multiply all elements of list by a number
• add a number to all elements of the list
• take every element of the list to a power
• take the log of every element of the list
• apply(ts, func)