Rob J Hyndman

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.

fpp

Data sets from Hyndman & Ath­anasopoulos (2012) Fore­cast­ing: prin­ciples and prac­tice, Otexts: Mel­bourne.

ftsa

Meth­ods and tools for mod­el­ling and fore­cast­ing func­tional time series.

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.

hts

Meth­ods for visu­al­iz­ing, ana­lys­ing and fore­cast­ing hier­arch­ical time series.

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