[R] time-series statistics collection

[Nicolas Iderhoff]

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
>> 
>> 
>> 
>> 
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