Applied Statistical Time Series Analysis
Plot and print ACF or PACF of a time series
Plot and print ACF and PACF of a time series
ACF and CCF for Multiple Time Series
Bootstrap Distribution of AR Model Parameters
Fit Bayesian AR Model
Spectral Density of an ARMA Model
Convert ARMA Process to Infinite AR Process
Applied Statistical Time Series Analysis (more than just data)
astsa color palette with transparency
autoParm - Structural Break Estimation Using AR Models
autoSpec - Changepoint Detection of Narrowband Frequency Changes
Bartlett Kernel
Cross Correlation
Detrend a Time Series
Convert DNA Sequence to Indicator Vectors
EM Algorithm for State Space Models
Effective Sample Size (ESS)
Basic False Discovery Rate
Forward Filtering Backward Sampling
A Better Add Grid to a Plot
Quick Kalman Filter
Quick Kalman Smoother
Lag Plot - one time series
Lag Plot - two time series
Lagged Regression
Powers of a Square Matrix
Univariate and Multivariate Spectral Estimation
Multiplication of Two Polynomials
ARIMA Forecasting
Fit ARIMA Models
ARIMA Simulation
Scatterplot with Marginal Histograms
Signal Extraction And Optimal Filtering
Estimate Spectral Density of a Time Series from AR Fit
Spectral Envelope
State Space Model
Frequency Domain Stochastic Regression
Fit Bayesian Stochastic Volatility Model
Stochastic Volatility Model with Feedback via MLE
Test Linearity of a Time Series via Normalized Bispectrum
Estimate Trend
Time Series Plot
EM Algorithm for Time Invariant State Space Models - This script has b...
EM Algorithm for General State Space Models - This script has been sup...
Kalman Filter - This script has been superseded by Kfilter
Kalman Filter - This script has been superseded by Kfilter.
Kalman Filter - This script has been superseded by Kfilter.
Kalman Filter and Smoother - This script has been superseded by `Ksmoo...
Kalman Filter and Smoother - This script has been superseded by `Ksmoo...
Kalman Filter and Smoother - This script has been superseded by `Ksmoo...
Switching Filter (for Stochastic Volatility Models) - This script is n...
Contains data sets and scripts for analyzing time series in both the frequency and time domains including state space modeling as well as supporting the texts Time Series Analysis and Its Applications: With R Examples (5th ed coming), by R.H. Shumway and D.S. Stoffer. Springer Texts in Statistics, 2017, <DOI:10.1007/978-3-319-52452-8>, and Time Series: A Data Analysis Approach Using R. Chapman-Hall, 2019, <DOI:10.1201/9780429273285>.
Useful links