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If you think back, to when you first started with time series analysis. What tools, R packages and internet resources do you wish you had known about?

What I'm trying to ask is, where should one start? Specifically, are there any resources for R that really boil it down for one who is "new" to time series analysis with R.

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I think this might need to be a wiki question :) ... –  Tal Galili Sep 30 '10 at 8:13
    
When I first started with time series analysis, there was no such thing as html or web browsers. R didn't exist. S-Plus didn't exist. "New S" didn't exist. (Old S existed, but I didn't know about it.) It would seem odd to wish for specific resources to exist for platforms that didn't exist. What use for an R package without R, or a nifty web page without a world wide web for it to be on? –  Glen_b Feb 25 at 7:09
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3 Answers

up vote 20 down vote accepted

There is a Time Series Task View that aims to summarize all the time series packages for R. It highlights some core packages that provide some essential functionality.

I would also recommend the book by Shumway and Stoffer and the associated website, although it is not so good for forecasting.

My blog post on "Econometrics and R" provides a few other references that are useful.

Then there is my own book on forecasting using R: Forecasting principles and practice.

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I've found the UseR! series book Introductory Time Series with R by Cowpertwait and Metcalfe very useful in translating my time series statistics textbooks into R-speak.

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I second that. There's a lot of little gems in this book. –  Adam Nov 3 '11 at 6:19
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For ecologists, Tree diversity analysis can be a first healthy step into the right direction. The book is free, it comes with an R package (BiodiversityR) and gives you a taste of other eco-packages (like vegan).

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could you point out where the book discusses time series? I just searched through it and could not find the topic covered. –  David Apr 1 '11 at 3:42
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