R/UComp-package.R

In UComp: Automatic Univariate Time Series Modelling of many Kinds

#' UComp
#' 
#' 
#' Package for time series modelling and forecasting of 
#' times series models inspired on different sources:
#' 
#' \itemize{
#' \item Unobserved Components models due to A.C. Harvey (Basic Structural Model: BSM), enhanced with automatic identification 
#' tools by Diego J. Pedregal. 
#' \item ExponenTial Smoothing by R.J. Hyndman and colaborators.
#' \item ARIMA models by V. Gómez and A. Maravall
#' \item Tobit ETS models by Pedregal, Trapero and Holgado
#' }
#' 
#' The package is designed for automatic identification 
#' among a wide range of possible models. The models may include exogenous variables. ARMA irregular components 
#' and automatic detection of outliers in some instances.
#' 
#' @section References:
#' Harvey AC (1989). Forecasting, Structural Time Series Models and the Kalman Filter. Cam- bridge University Press.
#' 
#' de Jong, P & Penzer, J (1998). Diagnosing Shocks in Time Series, Journal of the American Statistical Association, 93, 442, 796-806.
#' 
#' Pedregal, DJ, & Young, PC (2002). Statistical approaches to modelling and forecasting time series. In M. Clements,
#' & D. Hendry (Eds.), Companion to economic forecasting (pp. 69–104). Oxford: Blackwell Publishers.
#' 
#' Durbin J, Koopman SJ (2012). Time Series Analysis by State Space Methods. 38. Oxford University Press.
#' 
#' Proietti T and Luati A (2013). Maximum likelihood estimation of time series models: the Kalman filter and beyond, in Handbook of research methods and applications in empirical macroeconomics, ed. Nigar Hashimzade and Michael Thornton, E. Elgar, UK.
#'
#' Hyndman RJ, Koehler AB, Ord JK and Snyder RD (2008), Forecasting with exponential smoothing, The State Sapce approach,
#' Berlin, Springer-Verlag.
#' 
#' Gómez V and Maravall, A (2000), Automatic methods for univariate series. In Peña, D., Tiao, G.C. and Tsay R.S., A course in time series analyis. Wiley.
#' 
#' Trapero JR, Holgado E, Pedregal DJ (2024), Demand forecasting under lost sales stock policies, International Journal of Forecasting, 40, 1055-1068.
#' 
#' @name UComp
#' @aliases UComp-package
#' @author Diego J. Pedregal
#' 
#' @section Maintainer: Diego J. Pedregal
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