Time-series in Julia (working list)

Thanks Paulito.
I removed the Github stars bc I decided they are too noisy of an indicator of package quality.
For example ARCHModels.jl is one of the best packages I ever used (not just out of Julia packages), however it doesn’t have that many stars.

I created this table for myself a few times when I needed to use TS in Julia. I uploaded it here in case it’s useful to anyone else.

Anyone (including you :wink:) can easily copy-paste the table above & edit it to their heart’s content. Then they can post their edited table below.
(Many users have done this @ Styleforum, another community I used to be part of…)

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i wish julia package repl can search metadata of the package or its tags so that you can have ideas of what the package does. some package names are not obvious so tagging can help.

maintaining a manual table won’t scale well. it is better to really have some metadata for each package with certain important info.

Packages are not enough.
I found a lot of useful code on (non-package) GitHub repos, people’s websites, and journal data-code replication archives.
I have examples of all three above…

yeah. packages are not enough but if you have to google everytime you are in julia repl to discover packages and their description, it is not smooth sailing. with metadata including tags which are searchable in repl, you can get certain clusters of them based in their tags and makes discovery easy. also, many of these packages will reference papers and notes which can help you discover papers starting from discovering the package that references those papers.

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this person has good curation of julia packages. with metadata, you can create more info similar to what this person did: svaksha/Julia.jl - NotABug.org: Free code hosting

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you can create an automatic curation in julia to do this instead of doing it manually by datamining the metadata of packages. i think this person is using a webcrawler to discover and curate julia packages.

i created an issue in Pkg.jl: add support to search package tag/metadata/description for easy discoverability · Issue #2613 · JuliaLang/Pkg.jl · GitHub

hopefully, certain technology that allows searching of package metadata will be available in the future.

ok, seems Pkg3 will have these features.

Great list. Thanks for taking the time to put it together. You might want to add my package DependentBootstrap to the list. It’s actually a dependency of one of the packages you’ve already got on the list (ForecastEval).

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Anything for estimating univariate TAR / STAR / SETAR models?

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RollingFunctions.jl is maintained. It has been reasonably stable for a while. Please reflect this in your annotation.

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@JeffreySarnoff

  1. thanks for bringing this up
  2. I can no longer edit the original post
  3. I deliberately created this list so it can be updated by the Julia community as needed.
    Please feel free to copy/paste & edit!

Hi there, I am going to open a new post tonight to announce it properly, but I have renamed TSAnalysis.jl to MessyTimeSeries.jl and released an additional package called MessyTimeSeriesOptim.jl for model estimation and validation.

EDIT

Here it is MessyTimeSeries.jl and MessyTimeSeriesOptim.jl.

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Here is a link to FB’s Prophet:

Thank you @torfjelde

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thank you for this!

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Note that svaksha’s repo on NotABug is several years out of date - their curated Julia.jl list on Github and Gitlab are much newer and are kept in sync.

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You could convert this post into a GitHub repository where people could curate the list over time. Discourse is very limited in terms of updates.

Awesome initiative!

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New time-series forecasting package:

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We have built a new time series class, TSx, GitHub - xKDR/TSx.jl: Timeseries in Julia

This builds on the philosophy of zoo and xts in R, while using the internal foundations of DataFrame.jl by Bogumil.

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@gdalle

Thanks for the ping @Albert_Zevelev but this is definitely not a package meant for outside use, it only contains the code to generate figures for a paper of mine

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