Monthly Archives: January 2015

May the ForeC be with you: R package ForeCA v0.2.0

I just submitted a new, majorly improved ForeCA R package to CRAN.  Motivated by a bug report on whiten() I went ahead and rewrote and tested lots of the main functions in the package; now ForeCA is as shiny as never before.

For R users there isn’t a lot that will change (changelog): just use it as usual as foreca(X), where X is your multivariate (approximately) stationary time series (as a matrix, data.frame, or ts object in R).


ret <- ts(diff(log(EuStockMarkets)) * 100) 
mod <- foreca(ret, spectrum.control = list(method = "wosa"))

I will add a vignette in upcoming versions.