Package: astsa 2.2

astsa: Applied Statistical Time Series Analysis

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), by R.H. Shumway and D.S. Stoffer. Springer Texts in Statistics, 2025, <https://link.springer.com/book/9783031705830>, and Time Series: A Data Analysis Approach Using R. Chapman-Hall, 2019, <doi:10.1201/9780429273285>.

Authors:David Stoffer [aut, cre], Nicky Poison [ctb, mus, spy]

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astsa.pdf |astsa.html✨
astsa/json (API)

# Install 'astsa' in R:
install.packages('astsa', repos = c('https://dsstoffer.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/nickpoison/astsa/issues

Datasets:
  • BCJ - Daily Returns of Three Banks
  • EBV - Entire Epstein-Barr Virus (EBV) Nucleotide Sequence
  • ENSO - El Nino - Southern Oscillation Index
  • EQ5 - Seismic Trace of Earthquake number 5
  • EQcount - Earthquake Counts
  • EXP6 - Seismic Trace of Explosion number 6
  • GDP - Quarterly U.S. GDP - updated to 2023
  • GNP - Quarterly U.S. GNP - updated to 2023
  • HCT - Hematocrit Levels
  • Hare - Snowshoe Hare
  • Lynx - Canadian Lynx
  • MEI - Multivariate El Nino/Southern Oscillation Index
  • Months - Month Labels
  • PLT - Platelet Levels
  • USpop - U.S. Population - 1900 to 2010
  • UnempRate - U.S. Unemployment Rate
  • WBC - White Blood Cell Levels
  • ar1miss - AR with Missing Values
  • arf - Simulated ARFIMA
  • beamd - Infrasonic Signal from a Nuclear Explosion
  • birth - U.S. Monthly Live Births
  • blood - Daily Blood Work with Missing Values
  • bnrf1ebv - Nucleotide sequence - BNRF1 Epstein-Barr
  • bnrf1hvs - Nucleotide sequence - BNRF1 of Herpesvirus saimiri
  • cardox - Monthly Carbon Dioxide Levels at Mauna Loa
  • chicken - Monthly price of a pound of chicken
  • climhyd - Lake Shasta inflow data
  • cmort - Cardiovascular Mortality from the LA Pollution study
  • cpg - Hard Drive Cost per GB
  • djia - Dow Jones Industrial Average
  • econ5 - Five Quarterly Economic Series
  • eqexp - Earthquake and Explosion Seismic Series
  • flu - Monthly pneumonia and influenza deaths in the U.S., 1968 to 1978.
  • fmri - FMRI - complete data set
  • fmri1 - FMRI Data Used in Chapter 1
  • gas - Gas Prices
  • gdp - Quarterly U.S. GDP
  • gnp - Quarterly U.S. GNP
  • gtemp.month - Monthly global average surface temperatures by year
  • gtemp_both - Global mean land and open ocean temperature deviations, 1850-2023
  • gtemp_land - Global mean land temperature deviations, 1850-2023
  • gtemp_ocean - Global mean ocean temperature deviations, 1850-2023
  • hor - Hawaiian occupancy rates
  • jj - Johnson and Johnson Quarterly Earnings Per Share
  • lap - LA Pollution-Mortality Study
  • lap.xts - LA Pollution-Mortality Study: Sampled Daily
  • lead - Leading Indicator
  • nyse - Returns of the New York Stock Exchange
  • oil - Crude oil, WTI spot price FOB
  • part - Particulate levels from the LA pollution study
  • polio - Poliomyelitis cases in US
  • prodn - Monthly Federal Reserve Board Production Index
  • qinfl - Quarterly Inflation
  • qintr - Quarterly Interest Rate
  • rec - Recruitment
  • sales - Sales
  • salmon - Monthly export price of salmon
  • salt - Salt Profiles
  • saltemp - Temperature Profiles
  • sleep1 - Sleep State and Movement Data - Group 1
  • sleep2 - Sleep State and Movement Data - Group 2
  • so2 - SO2 levels from the LA pollution study
  • soi - Southern Oscillation Index
  • soiltemp - Spatial Grid of Surface Soil Temperatures
  • sp500.gr - Returns of the S&P 500
  • sp500w - Weekly Growth Rate of the Standard and Poor's 500
  • speech - Speech Recording
  • star - Variable Star
  • sunspotz - Biannual Sunspot Numbers
  • tempr - Temperatures from the LA pollution study
  • unemp - U.S. Unemployment
  • varve - Annual Varve Series

On CRAN:

Conda:

7.86 score 7 stars 8 packages 2.2k scripts 9.8k downloads 4 mentions 44 exports 0 dependencies

Last updated 2 months agofrom:b65e7dd41f. Checks:9 OK. Indexed: yes.

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Exports:%^%acf1acf2acfmar.bootar.mcmcarma.specARMAtoARastsa.colautoParmautoSpecbartccf2detrenddna2vectorEMESSFDRffbsGridKfilterKsmoothlag1.plotlag2.plotLagRegmatrixpwrmvspecpolyMulpre.whiteQQnormsarimasarima.forsarima.simscatter.histSigExtractspec.icspecenvssmstoch.regSV.mcmcSV.mletest.lineartrendtsplot

Dependencies:

Readme and manuals

Help Manual

Help pageTopics
Applied Statistical Time Series Analysis (more than just data)astsa-package astsa
Plot and print ACF or PACF of a time seriesacf1
Plot and print ACF and PACF of a time seriesacf2
ACF and CCF for Multiple Time Seriesacfm
Bootstrap Distribution of AR Model Parametersar.boot
Fit Bayesian AR Modelar.mcmc
AR with Missing Valuesar1miss
Simulated ARFIMAarf
Spectral Density of an ARMA Modelarma.spec
Convert ARMA Process to Infinite AR ProcessARMAtoAR
astsa color palette with transparencyastsa.col
autoParm - Structural Break Estimation Using AR ModelsautoParm
autoSpec - Changepoint Detection of Narrowband Frequency ChangesautoSpec
Bartlett Kernelbart
Daily Returns of Three BanksBCJ
Infrasonic Signal from a Nuclear Explosionbeamd
U.S. Monthly Live Birthsbirth
Daily Blood Work with Missing Valuesblood
Nucleotide sequence - BNRF1 Epstein-Barrbnrf1ebv
Nucleotide sequence - BNRF1 of Herpesvirus saimiribnrf1hvs
Monthly Carbon Dioxide Levels at Mauna Loacardox
Cross Correlationccf2
Monthly price of a pound of chickenchicken
Lake Shasta inflow dataclimhyd
Cardiovascular Mortality from the LA Pollution studycmort
Hard Drive Cost per GBcpg
Detrend a Time Seriesdetrend
Dow Jones Industrial Averagedjia
Convert DNA Sequence to Indicator Vectorsdna2vector
Entire Epstein-Barr Virus (EBV) Nucleotide SequenceEBV
Five Quarterly Economic Seriesecon5
EM Algorithm for State Space ModelsEM
El Nino - Southern Oscillation IndexENSO
Seismic Trace of Earthquake number 5EQ5
Earthquake CountsEQcount
Earthquake and Explosion Seismic Serieseqexp
Effective Sample Size (ESS)ESS
Seismic Trace of Explosion number 6EXP6
Basic False Discovery RateFDR
Forward Filtering Backward Samplingffbs
Monthly pneumonia and influenza deaths in the U.S., 1968 to 1978.flu
fMRI - complete data setfmri
fMRI Data Used in Chapter 1fmri1
Gas Pricesgas
Quarterly U.S. GDPgdp
Quarterly U.S. GDP - updated to 2023GDP
Quarterly U.S. GNPgnp
Quarterly U.S. GNP - updated to 2023GNP
A Better Add Grid to a PlotGrid
Global mean land and open ocean temperature deviations, 1850-2023gtemp_both
Global mean land temperature deviations, 1850-2023gtemp_land
Global mean ocean temperature deviations, 1850-2023gtemp_ocean
Monthly global average surface temperatures by yeargtemp.month
Snowshoe HareHare
Hematocrit LevelsHCT
Hawaiian occupancy rateshor
Johnson and Johnson Quarterly Earnings Per Sharejj
Quick Kalman FilterKfilter
Quick Kalman SmootherKsmooth
Lag Plot - one time serieslag1.plot
Lag Plot - two time serieslag2.plot
Lagged RegressionLagReg
LA Pollution-Mortality Studylap
LA Pollution-Mortality Study: Sampled Dailylap.xts
Leading Indicatorlead
Canadian LynxLynx
Powers of a Square Matrix%^% matrixpwr
Multivariate El Nino/Southern Oscillation Index (version 1)MEI
Month LabelsMonths
Univariate and Multivariate Spectral Estimationmvspec
Returns of the New York Stock Exchangenyse
Crude oil, WTI spot price FOBoil
Particulate levels from the LA pollution studypart
Platelet LevelsPLT
Poliomyelitis cases in USpolio
Multiplication of Two PolynomialspolyMul
Cross-Correlation Analysis With Automatic Prewhiteningpre.white
Monthly Federal Reserve Board Production Indexprodn
Quarterly Inflationqinfl
Quarterly Interest Rateqintr
Normal Quantile-Quantile PlotQQnorm
Recruitment (number of new fish index)rec
Salessales
Monthly export price of salmonsalmon
Salt Profilessalt
Temperature Profilessaltemp
Fit ARIMA Modelssarima
ARIMA Forecastingsarima.for
ARIMA Simulationsarima.sim
Scatterplot with Marginal Histogramsscatter.hist
Signal Extraction And Optimal FilteringSigExtract
Sleep State and Movement Data - Group 1sleep1
Sleep State and Movement Data - Group 2sleep2
SO2 levels from the LA pollution studyso2
Southern Oscillation Indexsoi
Spatial Grid of Surface Soil Temperaturessoiltemp
Returns of the S&P 500sp500.gr
Weekly Growth Rate of the Standard and Poor's 500sp500w
Estimate Spectral Density of a Time Series from AR Fitspec.ic
Spectral Envelopespecenv
Speech Recordingspeech
State Space Modelssm
Variable Starstar
Frequency Domain Stochastic Regressionstoch.reg
Biannual Sunspot Numberssunspotz
Fit Bayesian Stochastic Volatility ModelSV.mcmc
Stochastic Volatility Model with Feedback via MLESV.mle
Temperatures from the LA pollution studytempr
Test Linearity of a Time Series via Normalized Bispectrumtest.linear
Estimate Trendtrend
Time Series Plottsplot
U.S. Unemploymentunemp
U.S. Unemployment RateUnempRate
U.S. Population - 1900 to 2010USpop
Annual Varve Seriesvarve
White Blood Cell LevelsWBC