Data from the M-Competitions.

Mcomp: Data from the M-Competitions

The R package Mcomp contains the 1001 time series from the M-competition (Makridakis et al. 1982) and the 3003 time series from the IJF-M3 competition (Makridakis and Hibon, 2000). See also the tscompdata package.

Installation

You can install the stable version on R CRAN.

install.packages('Mcomp')

You can install the development version from Github

# install.packages("devtools")
devtools::install_github("robjhyndman/Mcomp")

Usage

library(Mcomp)
#> Loading required package: forecast
library(ggplot2)
M1
#> M-Competition data: 1001 time series 
#> 
#>            Type of data
#> Period      DEMOGR INDUST MACRO1 MACRO2 MICRO1 MICRO2 MICRO3 Total
#>   MONTHLY       75    183     64     92     10     89    104   617
#>   QUARTERLY     39     18     45     59      5     21     16   203
#>   YEARLY        30     35     30     29     16     29     12   181
#>   Total        144    236    139    180     31    139    132  1001
autoplot(M1$YAF2)

subset(M1,"monthly")
#> M-Competition data: 617 MONTHLY time series
#> 
#>          Type of data
#> Period    DEMOGR INDUST MACRO1 MACRO2 MICRO1 MICRO2 MICRO3
#>   MONTHLY     75    183     64     92     10     89    104

Sources

Makridakis, S., A. Andersen, R. Carbone, R. Fildes, M. Hibon, R. Lewandowski, J. Newton, E. Parzen, and R. Winkler (1982) The accuracy of extrapolation (time series) methods: results of a forecasting competition. Journal of Forecasting, 1, 111–153.

Makridakis and Hibon (2000) The M3-competition: results, conclusions and implications. International Journal of Forecasting, 16, 451-476.

License

This package is free and open source software, licensed under GPL-3