Updates to the ‘forecast’ package for R

[This article was first published on Revolutions, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

The forecast package for R, created and maintained by Professor Rob Hyndman of Monash University, is one of the more useful R packages available available on CRAN. Statistical forecasting — the process of predicting the future value of a time series — is used in just about every realm of data analysis, whether it's trying to predict a future stock price or trying to anticipate changes in the weather. If you're looking to learn about forecasting, a great place to start is the online book Forecasting: Principles and Practice (by Hyndman and George Athana­sopou­los) which walks you through the theory and practice, with many examples in R based on the forecast package. Topics covered include multiple regression, Time series decomposition, exponential smoothing, and ARIMA models.

The forecast package itself recently received a major update, to version 7. One major new capability is the ability to easily chart forecasts using the ggplot2 package with the new autoplot function. For example:

fc <- forecast(fdeaths)
autoplot(fc)
 

You can also add forecasts to any ggplot using the new geom_forecasts geom provided by the forecast package:

autoplot(mdeaths) + geom_forecast(h=36, level=c(50,80,95))

Geom_forecast

There have been several updates to the forecasting functions as well. The function for fitting linear models to time series data, tslm, has been rewritten to be more compatible with the standard lm function. It's now possible to forecast means (as well as medians) when using Box-Cox transformations. And you can now apply neural networks to time series data by building a nonlinear autoregressive model with the new nnetar function.

Those are just some of the highlights of the updates to the forecast package in version 7. For complete details, follow the links to Rob Hyndman's blog, below.

Hyndsight: forecast v7 and ggplot2 graphics ; Forecast v7 (part 2) (via traims)

To leave a comment for the author, please follow the link and comment on their blog: Revolutions.

R-bloggers.com offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)