autostsm: Automatic Structural Time Series Models

Automatic model selection for structural time series decomposition into trend, cycle, and seasonal components, plus optionality for structural interpolation, using the Kalman filter. Koopman, Siem Jan and Marius Ooms (2012) "Forecasting Economic Time Series Using Unobserved Components Time Series Models" <doi:10.1093/oxfordhb/9780195398649.013.0006>. Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" <doi:10.7551/mitpress/6444.001.0001><>.

Package details

AuthorAlex Hubbard [aut, cre]
MaintainerAlex Hubbard <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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autostsm documentation built on June 22, 2024, 9:54 a.m.