tsfeatures
The R package tsfeatures provides methods for extracting various features from time series data.
Installation
You can install the stable version on R CRAN.
install.packages('tsfeatures', dependencies = TRUE)
You can install the development version from Github with:
# install.packages("devtools")
devtools::install_github("robjhyndman/tsfeatures")
Usage
library(tsfeatures)
mylist <- list(sunspot.year, WWWusage, AirPassengers, USAccDeaths)
myfeatures <- tsfeatures(mylist)
myfeatures
#> # A tibble: 4 × 20
#> frequency nperi…¹ seaso…² trend spike linea…³ curva…⁴ e_acf1 e_acf10 entropy
#> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
#> 1 1 0 1 0.125 2.10e-5 3.58 1.11 0.793 2.21 0.702
#> 2 1 0 1 0.985 3.01e-8 4.45 1.10 0.774 0.983 0.461
#> 3 12 1 12 0.991 1.46e-8 11.0 1.09 0.509 0.930 0.296
#> 4 12 1 12 0.802 9.15e-7 -2.12 2.85 0.258 0.341 0.548
#> # … with 10 more variables: x_acf1 <dbl>, x_acf10 <dbl>, diff1_acf1 <dbl>,
#> # diff1_acf10 <dbl>, diff2_acf1 <dbl>, diff2_acf10 <dbl>,
#> # seasonal_strength <dbl>, peak <dbl>, trough <dbl>, seas_acf1 <dbl>, and
#> # abbreviated variable names ¹nperiods, ²seasonal_period, ³linearity,
#> # ⁴curvature
License
This package is free and open source software, licensed under GPL-3.