TIME-SERIES ANALYSIS USING R资料.doc

Time Series Analysis Using R by Steve Raper and Chris Chatfield This document is a free appendix to the 6th edition of The Analysis of Time Series By Chris Chatfield, published in 2004 by Chapman Hall/CRC in the Texts in Statistical Science series. The examples in this time-series text were mostly carried out using Minitab and S-Plus (see Chapter 14 and Appendix D). Since the time the book was written, a software package called R has become the software choice of many students and staff and is now used extensively by the academic statistical community for statistical modelling, including time-series modelling. R is a free updated version of S-Plus. Of course, many statistical software packages, including SPSS, SAS and Minitab, also contain Time Series Analysis modules which allow the analyst to model time series as they see fit. Microsoft Excel even contains a command within its Data Analysis add-in to carry out exponential smoothing! However, the R language and environment arguably provide greater depth and flexibility in many situations. Since R is used within a command-line interface, this may impose a steeper learning-curve for the new user, but the range of time series analysis packages available in R, together with its publication-quality graphical capabilities, mean that it is increasingly the favoured package amongst serious time series analysts. We assume the reader is familiar with the basic use of R and indicate how to extend this to time-series analysis. The key extension is that the time-series commands act on data called a ts object which are not just a set of numbers but have an order and a position in a cycle. For example, if the series is monthly, we may know that a particular observation is say the value in the 4th month of the second year. What is R? R is an open-source (i.e. free!) statistical software package, maintained by the user community themselves. It is distributed by CRAN (Comprehensive R Archive Network) and is available for downloa