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

• Remove defunct functions.
• Describe the statistics in causality_pred()

Current GitHub version

• Added new function r_crit() to compute critical values of correlations.

CRAN version 9.1

• Replace the BIC argument in AR estimation with ic, to easily switch to AIC. The directly affected functions are notrend_test(), sync_test(), and wavk_test().
• The functions i.tails() and q.tails() are marked defunct and renamed as tails_i and tails_q.
• Remove dependence on the package Jmisc.
• The function ccf_boot() now has the parallel option, thanks to suggestions from Erika Koontz and Benjamin Malmgren. The function also switched to using normal bootstrap intervals to improve their symmetry. Optional smoothing was added for extra smoothness, which prompted to omit $p$-value calculation.
• In the function causality_pred(), remove the fast bootstrap of paired out-of-sample errors as under-performing; make sure the AR-order selection is done on the training set; try extra statistics; correct the restricted model for bootstrapping (include intercept).

CRAN version 9.0

• 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