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
devtools::install_github("SMAC-Group/simts", build_vignettes = TRUE)