There are many different packages that provide different capabilites for time series, and I have yet to reach a critical mass with any of them. Venables and Ripley, Modern Applied Statistics with S (Springer) has a chapter on time series. That book is quite good for many other things as well.
What kind of time series will you be analyzing, using what kinds of models? Apart from functions acf, arima, etc., you may also need to learn how to associate times with the observations. There are classes "POSIXct", "POSIXlt" and "Date" in the base package and "date" in the survival package that are unfortunately different. There is also a "time series" class in the base Stats package. Beyond this, I would check the "zoo" package, which attempts to reconcile different systems for storing dates. In addition to "its" (irregular time series), you may wish to investigate the "Rmetrics" project.
There are other facilities as well. Please read the posting guide "http://www.R-project.org/posting-guide.html"; and submit more specific questions. Other people's answers to your questions will likely help educate me.
Best Wishes,
spencer gravesStephen D. Weigand wrote:
On May 8, 2005, at 12:24 PM, Jonathan Q. wrote:
Aside from An Introduction to R by W. N. Venables, D. M. Smith (the PDF is free), what would people recommend as a good starter book? I was thinking of introductory Statistics with R by Peter Dalgaard. Any thoughts??
My knowledge of Stats is stale and the primary use of R is for time series analysis. Any advice would be greatly appreciated. Thanks.
Jonathan,
The Contributed Documentation at
http://cran.r-project.org/other-docs.html
has plenty of resources, which I'm sure you've seen.
I've gotten a lot from "An Introduction to S and the Hmisc and Design Libraries” by Carlos Alzola and Frank E. Harrell. I also noticed a “Time series reference card” by Vito Ricci near the bottom of the page which might help you get acquainted with some time series functions.
Personally, I'd say the particular text is less important than trying to use R in everyday work. And doing this leads one to the help pages all the time. These took, for me, a special kind of critical line-by-line reading, at least in the beginning.
Hope this helps,
Stephen
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