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 <nicolasiderhoff@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]]

