[R] time series analysis

Paul Gilbert pgilbert at bank-banque-canada.ca
Fri Jan 29 17:07:46 CET 1999

My time series package "DSE" is available and works just fine under R. It
provides considerable time series functionality which is not available in Splus.
(It does not duplicate everything that is in Splus. My interest has always been
in multivariate time series, and that functionality has historically been fairly
limited in Splus.) A user guide and the html help are available on the web at
<http://www.bank-banque-canada.ca/pgilbert>, so you can get some idea if it does
what you want before you install it.

There is a version of DSE in the devel area of CRAN and a slightly more recent
version available at my web site. It is in the devel area because the R package
install procedures were in a state of flux at the time I submitted it, not
because the code is unstable. The version on my web site dse.v.98.12alphaR
installs with R 0.63.2 which I am now using, and also with 0.63.1. As I recall,
the version on CRAN installed with 0.62.x, but probably does not install
correctly with 0.63.x.

Some of the documentation is still specific to S, but in most respects that
should not cause any problems. The versions on my web site are named "alpha"
because there are many new features which have not yet been properly documented.
The code is actually more stable than versions I have previously called "beta".
(In my experience something better than beta does not exist, even from
commercial vendors, only the label is occasionally removed.)

I work in Unix and have not tried to port the code to Windows, though if anyone
is interested I am willing to provide any information that I can. The main
problem is a fortran routine which is fairly critical.

In addition to DSE  the package CODA on CRAN has the function spec.pgram. (DSE
does not have much in the way of spectral analysis.)

Paul Gilbert

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