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Making time series analysis in R easier.

Mission: To make time series analysis in R easier, faster, and more enjoyable.

Installation

Download the development version with latest features:

remotes::install_github("business-science/timetk")

Or, download CRAN approved version:

Package Functionality

There are many R packages for working with Time Series data. Here’s how timetk compares to the “tidy” time series R packages for data visualization, wrangling, and feature engineeering (those that leverage data frames or tibbles).

Task timetk tsibble feasts tibbletime (retired)
Structure
Data Structure tibble (tbl) tsibble (tbl_ts) tsibble (tbl_ts) tibbletime (tbl_time)
Visualization
Interactive Plots (plotly)
Static Plots (ggplot)
Time Series
Correlation, Seasonality
Data Wrangling
Time-Based Summarization
Time-Based Filtering
Padding Gaps
Low to High Frequency
Imputation
Sliding / Rolling
Machine Learning
Time Series Machine Learning
Anomaly Detection
Clustering
Feature Engineering (recipes)
Date Feature Engineering
Holiday Feature Engineering
Fourier Series
Smoothing & Rolling
Padding
Imputation
Cross Validation (rsample)
Time Series Cross Validation
Time Series CV Plan Visualization
More Awesomeness
Making Time Series (Intelligently)
Handling Holidays & Weekends
Class Conversion
Automatic Frequency & Trend

Summary

Timetk is an amazing package that is part of the modeltime ecosystem for time series analysis and forecasting. The forecasting system is extensive, and it can take a long time to learn:

  • Many algorithms
  • Ensembling and Resampling
  • Machine Learning
  • Deep Learning
  • Scalable Modeling: 10,000+ time series

Your probably thinking how am I ever going to learn time series forecasting. Here’s the solution that will save you years of struggling.

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High-Performance Time Series Forecasting Course

High-Performance Time Series Course

Time Series is Changing

Time series is changing. Businesses now need 10,000+ time series forecasts every day. This is what I call a High-Performance Time Series Forecasting System (HPTSF) - Accurate, Robust, and Scalable Forecasting.

High-Performance Forecasting Systems will save companies by improving accuracy and scalability. Imagine what will happen to your career if you can provide your organization a “High-Performance Time Series Forecasting System” (HPTSF System).

How to Learn High-Performance Time Series Forecasting

I teach how to build a HPTFS System in my High-Performance Time Series Forecasting Course. You will learn:

  • Time Series Machine Learning (cutting-edge) with Modeltime - 30+ Models (Prophet, ARIMA, XGBoost, Random Forest, & many more)
  • Deep Learning with GluonTS (Competition Winners)
  • Time Series Preprocessing, Noise Reduction, & Anomaly Detection
  • Feature engineering using lagged variables & external regressors
  • Hyperparameter Tuning
  • Time series cross-validation
  • Ensembling Multiple Machine Learning & Univariate Modeling Techniques (Competition Winner)
  • Scalable Forecasting - Forecast 1000+ time series in parallel
  • and more.

Become the Time Series Expert for your organization.


Take the High-Performance Time Series Forecasting Course

Acknowledgements

The timetk package wouldn’t be possible without other amazing time series packages.

  • stats - Basically every timetk function that uses a period (frequency) argument owes it to ts().
  • lubridate: timetk makes heavy use of floor_date(), ceiling_date(), and duration() for “time-based phrases”.
    • Add and Subtract Time (%+time% & %-time%): "2012-01-01" %+time% "1 month 4 days" uses lubridate to intelligently offset the day
  • xts: Used to calculate periodicity and fast lag automation.
  • forecast (retired): Possibly my favorite R package of all time. It’s based on ts, and its predecessor is the tidyverts (fable, tsibble, feasts, and fabletools).
    • The ts_impute_vec() function for low-level vectorized imputation using STL + Linear Interpolation uses na.interp() under the hood.
    • The ts_clean_vec() function for low-level vectorized imputation using STL + Linear Interpolation uses tsclean() under the hood.
    • Box Cox transformation auto_lambda() uses BoxCox.Lambda().
  • tibbletime (retired): While timetk does not import tibbletime, it uses much of the innovative functionality to interpret time-based phrases:
  • slider: A powerful R package that provides a purrr-syntax for complex rolling (sliding) calculations.
  • padr: Used for padding time series from low frequency to high frequency and filling in gaps.
  • TSstudio: This is the best interactive time series visualization tool out there. It leverages the ts system, which is the same system the forecast R package uses. A ton of inspiration for visuals came from using TSstudio.