This page provides information about software I have written which may be useful to others. The R packages and code may be freely copied and used. No guarantee of their reliability is given. If any errors are found, please let me know.

R packages

addb

Data from the Australian Demographic Data Bank. To be used in conjunction with the demography package.

demography

Provides a large number of functions for handling demographic statistics, modelling and forecasting. In particular, it implements Lee-Carter forecasting and variations, and Hyndman-Ullah forecasting.

expsmooth

Data sets from Hyndman, Koehler, Ord and Snyder (2008) Forecasting with exponential smoothing: the state space approach, Springer: Berlin.

fds

Functional data sets useful for testing new methods.

fma

Data sets from Makridakis, Wheelwright and Hyndman (1998) Forecasting: methods and applications, Wiley & Sons: New York.

forecast

Methods and tools for displaying and analysing univariate time series forecasts including exponential smoothing via state space models and automatic ARIMA modelling.

hdrcde

Tools for the computation of highest density regions in one and two dimensions, kernel estimation of univariate density functions conditional on one covariate, and multimodal regression.

Mcomp

The 1001 time series from the M-competition (Makridakis et al. 1982) and the 3003 time series from the IJF-M3 competition (Makridakis and Hibon, 2000).

monash

Miscellaneous functions for the Monash University Statistics & Econometrics Consulting Service.

rainbow

Plots for functional data: rainbow plot, functional bagplot, functional HDR boxplot

R code

Monotonic Interpolation

• Monotonic interpolating splines

ROC curves

• Kernel estimation and bandwidth selection

Excel add-in

Phicast is a forecasting add-in for Microsoft Excel, designed to make the basic techniques of time series forecasting available to Excel users.