Time-series in Julia (working list)

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Note that svaksha’s repo on NotABug is several years out of date - their curated Julia.jl list on Github and Gitlab are much newer and are kept in sync.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

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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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@Norman has

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Cool list! I just wanted to shamelessly suggest adding my recently registered package for estimating Markov switching dynamic regression models: GitHub - m-dadej/MarSwitching.jl: MarSwitching.jl: Julia package for Markov Switching dynamic models

I think https://juliapackages.com/ plays a similar role as R’s CRAN task views but suprisingly lacks time-series category

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As a general suggestion/warning, juliapackages.com is unfortunately not too actively maintained, and the information there is often outdated. So I’d take any information from there with a pinch of salt.

That said, I’d expect time series packages to be in the Data Science category, and that does contain at least TSFrames.jl (which afaik is the new name of TSx.jl mentioned above) and TimeSeriesClustering.jl.

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It would be fantastic if this post was transformed into an entry for JuliaPackageComparisons, see : [Pre-ANN] JuliaPackageComparisons

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Btw, it seems that JuliaHub package search feature has similar packages under different named categories:
timeseries, time-series, time-series-analysis…

Also, Midas.jl has nice unregistered code for Mixed Data Regressions in Julia…

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@enweg has come cool/useful code in

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For the sake of completeness, here are a few packages from my research group that deals with time series data, primarily designed for statistical genetics analysis

  • WiSER.jl: Models within-subject variation
  • TrajGWAS.jl: Built on WiSER.jl, this conducts a GWAS for time series data
  • QuasiCopula.jl: Package to analyze non-Gaussian time series data (support for GWAS coming soon)
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This might also belong here:

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