The Time Series Tools (simts) R package provides a series of tools to simulate, plot, estimate, select and forecast different time series models. It is originally conceived as a support to the online textbook “Applied Time Series Analysis with R” and, more specifically, provides tools with the following features:

  • Simulation of time series from SARIMA models to various state-space models that can be expressed as latent time series processes.
  • Visualization of time series data with user specifications.
  • Specific simulation and visualization tools for latent time series models.
  • Easy-to-use functions to estimate and infer on the parameters of time series models through different methods (standard and robust).
  • Diagnostic and statistical tools to assess goodness of fit and select the best model for the data.
  • Estimating and plotting tools to deliver point forecasts and confidence intervals.

To understand the usage of the simts package, please refer to the “Vignettes” tab above.

Install Instructions

To install the simts package, there is currently one option: GitHub. For users who are interested in having the latest developments, this option is ideal although more dependencies are required to run a stable version of the package. Most importantly, users must have a (C++) compiler installed on their machine that is compatible with R (e.g. Clang).

The setup to obtain the development version of simts is platform dependent.

All Systems

The following R packages are also required. Once you’ve made sure that you have a compatible C++ compiler installed on your computer, run the following code in an R session and you will be ready to use the devlopment version of simts.

# Install dependencies
install.packages(c("RcppArmadillo","devtools","knitr","rmarkdown"))

# Install the package from GitHub without Vignettes/User Guides
devtools::install_github("SMAC-Group/simts")

# Install the package with Vignettes/User Guides 
devtools::install_github("SMAC-Group/simts", build_vignettes = TRUE)

License

The license this source code is released under is the GNU AFFERO GENERAL PUBLIC LICENSE (AGPL) v3.0. Please see the LICENSE file for full text. Otherwise, please consult TLDR Legal or GNU which will provide a synopsis of the restrictions placed upon the code.