Great thanks. If anyone else have an idea of statistics that can represent different aspects of time-series please let me know.
-- Hello, I am trying to collect several global measures or statistics for time-series as well as packages of R that can compute them. I have found several of them in papers and books, but the literature is so big i am sure i am missing several of them. skewness kurtosis min max mean SD trend seasonality periodicity chaos (Lyapunov Exponent) / Largest Lyapunov Exponent (i think is the same statistic) serial correlation / auto-correlation (this is the same if i am correct Box-Pierce autocorrelation sum) higher-order autocorrelation nonlinearity (terasvirta test) self similarity (Hurst exponent) matual information sum any other statistics that i am missing? Maybe other useful tests? or books/papers that i could find more? also any packages that can compute some/all of them? Best, PA -- 2012/6/1 Nicolas Iderhoff <nicolasiderh...@googlemail.com> > One of the most important concepts is most certainly Stationarity (see > “unit root test"). > the most common r-package will be: tseries. > > see: > Brockwell/Davis (2006): Time Series: Theory and Models. > Brockwell/Davis (2002): Introduction to Time Series and Forecasting. > Cowpertwait/Metcalfe (2009): Introductory Time Series with R. > Cryer/Chan (2008): Time Series Analysis: With Applications in R. > > for some general introductions of using time series in r. > > > > > > Am 01.06.2012 um 14:49 schrieb Pierre Antoine DuBoDeNa: > > >> > >> Hello, > >> > >> I am trying to collect several global measures or statistics for > >> time-series as well as packages of R that can compute them. I have found > >> several of them in papers and books, but the literature is so big i am > sure > >> i am missing several of them. > >> > >> skewness > >> kurtosis > >> min > >> max > >> mean > >> SD > >> trend > >> seasonality > >> periodicity > >> chaos (Lyapunov Exponent) / Largest Lyapunov Exponent (i think is the > same > >> statistic) > >> serial correlation / auto-correlation (this is the same if i am correct > >> Box-Pierce autocorrelation sum) > >> higher-order autocorrelation > >> nonlinearity (terasvirta test) > >> self similarity (Hurst exponent) > >> matual information sum > >> > >> any other statistics that i am missing? Maybe other useful tests? > >> > >> or books/papers that i could find more? > >> > >> also any packages that can compute some/all of them? > >> > >> Best, > >> PA > >> > >> > >> > >> > > > > [[alternative HTML version deleted]] > > > > ______________________________________________ > > R-help@r-project.org mailing list > > https://stat.ethz.ch/mailman/listinfo/r-help > > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > > and provide commented, minimal, self-contained, reproducible code. > > [[alternative HTML version deleted]]
______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
