R and S-PLUS Functions for Time Series Analysis


R and Splus have a rich collection of functions for doing time series analysis. For the beginner, however, the functions can be difficult to use. I have written a collection of Splus functions to better integrate the R and Splus analytical and graphical tools and provide a simpler interface for doing Box-Jenkins type ARMA/ARIMA modeling and analysis. There are also some routines for intervention analysis and transfer function modeling. In addition I have written some functions that use simulation to help students and more experienced analysts get a better understanding of the behavior of ARMA models. These functions are called, collectively, SPLUSTS for Splus and RTSERIES for R.

Click to download a self-executing zip file containing RTSERIES and associated documentation and examples for R running under Windows 95/98/NT/ME/2000/XP/Vista.

Click here to see or print the SPLUSTS (Splus Time Series Analysis) software documentation. ( pdf )

The port to R is recent and I have not had time to update the documentation. The primary difference is in the way one reads in data. The approach for reading in data for RTSERIES is, however, clearly illustrated with the many examples in the download.

Click here to see or print instructions for downloading and installing SPLUSTS.

The instructions to RTSERIES are similar.

Click to download a self-executing zip file containing SPLUSTS and associated documentation and examples for Splus 6.x running under Windows 95/98/NT/ME/2000/XP/Vista.

I also have an older version to SPLUSTS that works under Splus 4.5 and 2000. Click to download a self-executing zip file containing SPLUSTS and associated documentation and examples for Splus 4.5 and 2000 running under Windows 95/98/NT/ME/2000/XP.


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