funtimes: Functions for Time Series Analysis

This is the version of the package under development. To use the most recent stable version from CRAN, run

install.packages("funtimes")
library(funtimes)

To get this version from GitHub, run

devtools::install_github("vlyubchich/funtimes")
library(funtimes)

Future work

• Combine functions for tail comparison into one, without dots.
• Replace BIC argument in AR estimation with penalty, to easily switch to AIC or another penalty.
• Remove dependence on Jmisc.

CRAN version 8.3

• Added functions for out-of-sample Granger causality testing (based on prediction errors), with an option to restrict (disregard) near-contemporaneous lags: causality_pred and causality_predVAR.

CRAN version 8.2

• Removed dependency on the package TDA by omitting the TDA-based clustering function TopoCBN.
• Added a vignette on clusters of time series.

CRAN version 8.1

• mcusum_test now runs faster, has the option to use heuristic shortened bootstrapping, and an option to set m <= length(k) (used to be m = length(k)) thanks to the contributions from Alexander Brenning.

CRAN version 8.0

• Deprecated functions (with dots) marked as defunct.
• New functions: AuePolyReg_test, ccf_boot, cumsumCPA_test, GombayCPA_test, and TopoCBN.
• Fixed a bug in beales thanks to an email from Dave Lorenz.

CRAN version 7.0

• Use underscores in function names instead of dots. Mark those functions as deprecated.
• Add vignettes for Beale's estimator and trend tests.
• Add a package overview section in the documentation.
• Format R code according to R style diagnostics (such as whitespaces).
• Improve computational efficiency of purity function, inspired by Brian Simmons's suggestions from 2019-06-12 about handling zero-cases when all matches have been found.

CRAN version 6.1 and below

See GitHub commits before 2019-04-15