autostsm-package: autostsm: Automatic Structural Time Series Models
In autostsm: Automatic Structural Time Series Models
autostsm-package R Documentation
autostsm: Automatic Structural Time Series Models
Description
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" \Sexpr[results=rd]{tools:::Rd_expr_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" \Sexpr[results=rd]{tools:::Rd_expr_doi("10.7551/mitpress/6444.001.0001")}http://econ.korea.ac.kr/~cjkim/.
Author(s)
Maintainer: Alex Hubbard hubbard.alex@gmail.com
autostsm documentation built on June 22, 2024, 9:54 a.m.
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| autostsm-package | R Documentation |
autostsm: Automatic Structural Time Series Models
Description
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" \Sexpr[results=rd]{tools:::Rd_expr_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" \Sexpr[results=rd]{tools:::Rd_expr_doi("10.7551/mitpress/6444.001.0001")}http://econ.korea.ac.kr/~cjkim/.
Author(s)
Maintainer: Alex Hubbard hubbard.alex@gmail.com
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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