R package
astsa
This is the R package used in the text. See the package notes for information on obtaining it.
shumway & stoffer's
R package
This is the R package used in the text. See the package notes for information on obtaining it.
code used in the text
For a list of all the R code used in the text, even the mundane stuff, follow the link below.
info about the
The publisher's website for the text. Use this for additional information, adoption, or instructor's manual request.
download R from CRAN
R can be downloaded from CRAN. RStudio can make using R easier but note that *RStudio collects personal information.
data sets and scripts in
see fun with astsa for demonstrations
-- A -- acf1 Plot and print ACF or PACF of a time series acf2 Plot and print ACF and PACF of a time series acfm ACF and CCF for Multiple Time Series ar.mcmc Fit Bayesian AR Model ar1miss AR with Missing Values arf Simulated ARFIMA arma.spec Spectral Density of an ARMA Model ARMAtoAR Convert ARMA Process to Infinite AR Process astsa Applied Statistical Time Series Analysis (more than just data) astsa.col astsa color palette with transparency autoParm autoParm - Structural Break Estimation Using AR Models autoSpec autoSpec - Changepoint Detection of Narrowband Frequency Changes -- B -- bart Bartlett Kernel BCJ Daily Returns of Three Banks beamd Infrasonic Signal from a Nuclear Explosion birth U.S. Monthly Live Births blood Daily Blood Work with Missing Values bnrf1ebv Nucleotide sequence - BNRF1 Epstein-Barr bnrf1hvs Nucleotide sequence - BNRF1 of Herpesvirus saimiri -- C -- cardox Monthly Carbon Dioxide Levels at Mauna Loa ccf2 Cross Correlation chicken Monthly price of a pound of chicken climhyd Lake Shasta inflow data cmort Cardiovascular Mortality from the LA Pollution study cpg Hard Drive Cost per GB -- D -- detrend Detrend a Time Series djia Dow Jones Industrial Average dna2vector Convert DNA Sequence to Indicator Vectors -- E -- EBV Entire Epstein-Barr Virus (EBV) Nucleotide Sequence econ5 Five Quarterly Economic Series EM EM Algorithm for State Space Models ENSO El Nino - Southern Oscillation EQ5 Seismic Trace of Earthquake number 5 EQcount Earthquake Counts eqexp Earthquake and Explosion Seismic Series ESS Effective Sample Size (ESS) EXP6 Seismic Trace of Explosion number 6 -- F -- FDR Basic False Discovery Rate ffbs Forward Filtering Backward Sampling flu Monthly pneumonia and influenza deaths in the U.S., 1968 to 1978. fmri fMRI - complete data set fmri1 fMRI Data Used in Chapter 1 -- G -- gas Gas Prices gdp Quarterly U.S. GDP globtemp Global mean land-ocean temperature deviations to 2015 globtempl Global mean land (only) temperature deviations to 2015 gnp Quarterly U.S. GNP Grid A Better Add Grid to a Plot gtemp Global mean land-ocean temperature deviations gtemp2 Global Mean Surface Air Temperature Deviations gtemp_land Global mean land temperature deviations - updated to 2021 gtemp_ocean Global mean ocean temperature deviations - updated to 2021 -- H -- Hare Snowshoe Hare HCT Hematocrit Levels hor Hawaiian occupancy rates -- J -- jj Johnson and Johnson Quarterly Earnings Per Share -- K -- Kfilter Quick Kalman Filter Ksmooth Quick Kalman Smoother -- L -- lag1.plot Lag Plot - one time series lag2.plot Lag Plot - two time series LagReg Lagged Regression lap LA Pollution-Mortality Study lead Leading Indicator Lynx Canadian Lynx -- M -- matrixpwr Powers of a Square Matrix Months Month Labels mvspec Univariate and Multivariate Spectral Estimation -- N -- nyse Returns of the New York Stock Exchange -- O -- oil Crude oil, WTI spot price FOB -- P -- part Particulate levels from the LA pollution study PLT Platelet Levels polio Poliomyelitis cases in US polyMul Multiplication of Two Polynomials prodn Monthly Federal Reserve Board Production Index -- Q -- qinfl Quarterly Inflation qintr Quarterly Interest Rate -- R -- rec Recruitment (number of new fish index) -- S -- sales Sales salmon Monthly export price of salmon salt Salt Profiles saltemp Temperature Profiles sarima Fit ARIMA Models sarima.for ARIMA Forecasting sarima.sim ARIMA Simulation scatter.hist Scatterplot with Marginal Histograms SigExtract Signal Extraction And Optimal Filtering sleep1 Sleep State and Movement Data - Group 1 sleep2 Sleep State and Movement Data - Group 2 so2 SO2 levels from the LA pollution study soi Southern Oscillation Index soiltemp Spatial Grid of Surface Soil Temperatures sp500.gr Returns of the S&P 500 sp500w Weekly Growth Rate of the Standard and Poor's 500 spec.ic Estimate Spectral Density of a Time Series from AR Fit specenv Spectral Envelope speech Speech Recording ssm State Space Model star Variable Star stoch.reg Frequency Domain Stochastic Regression sunspotz Biannual Sunspot Numbers SV.mcmc Fit Bayesian Stochastic Volatility Model SVfilter Switching Filter (for Stochastic Volatility Models) -- T -- tempr Temperatures from the LA pollution study test.linear Test Linearity of a Time Series via Normalized Bispectrum trend Estimate Trend tsplot Time Series Plot -- U -- unemp U.S. Unemployment UnempRate U.S. Unemployment Rate -- V -- varve Annual Varve Series -- W -- WBC White Blood Cell Levels -- X -- Scripts marked with an 'x' are scheduled to be phased out xEM0 EM Algorithm for Time Invariant State Space Models - This script has been superseded by 'EM'. xEM1 EM Algorithm for General State Space Models - This script has been superseded by 'EM'. xKfilter0 Kalman Filter - This script has been superseded by 'Kfilter' xKfilter1 Kalman Filter - This script has been superseded by 'Kfilter'. xKfilter2 Kalman Filter - This script has been superseded by 'Kfilter'. xKsmooth0 Kalman Filter and Smoother - This script has been superseded by 'Ksmooth' xKsmooth1 Kalman Filter and Smoother - This script has been superseded by 'Ksmooth' xKsmooth2 Kalman Filter and Smoother - This script has been superseded by 'Ksmooth' -- misc -- %^% Powers of a Square Matrix
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