forecast

The R package forecast provides methods and tools for displaying and analysing univariate time series forecasts including exponential smoothing via state space models and automatic ARIMA modelling.

A complementary forecasting package is the fable package, which implements many of the same models but in a tidyverse framework.

Installation

You can install the stable version from CRAN.

install.packages("forecast", dependencies = TRUE)

You can install the development version from Github

# install.packages("remotes")
remotes::install_github("robjhyndman/forecast")

Usage

library(forecast)
library(ggplot2)

# ETS forecasts
USAccDeaths |>
  ets() |>
  forecast() |>
  autoplot()

# Automatic ARIMA forecasts
WWWusage |>
  auto.arima() |>
  forecast(h=20) |>
  autoplot()

# ARFIMA forecasts
library(fracdiff)
x <- fracdiff.sim( 100, ma=-.4, d=.3)$series
arfima(x) |>
  forecast(h=30) |>
  autoplot()

# Forecasting with STL
USAccDeaths |>
  stlm(modelfunction=ar) |>
  forecast(h=36) |>
  autoplot()

AirPassengers |>
  stlf(lambda=0) |>
  autoplot()

USAccDeaths |>
  stl(s.window='periodic') |>
  forecast() |>
  autoplot()

# TBATS forecasts
USAccDeaths |>
  tbats() |>
  forecast() |>
  autoplot()

taylor |>
  tbats() |>
  forecast() |>
  autoplot()

For more information

• Get started in forecasting with the online textbook at http://OTexts.org/fpp2/
• Read the Hyndsight blog at https://robjhyndman.com/hyndsight/
• Ask forecasting questions on http://stats.stackexchange.com/tags/forecasting
• Ask R questions on http://stackoverflow.com/tags/forecasting+r
• Join the International Institute of Forecasters: http://forecasters.org/

License

This package is free and open source software, licensed under GPL-3.