Description Usage Arguments Details Value Author(s) References See Also Examples
Constructor of the ets("A","A","Z")
object for Bayesian estimation in Stan.
1 |
ts |
a numeric or ts object with the univariate time series. |
damped |
a boolean value to specify a damped trend local level model. By default
is |
xreg |
Optionally, a numerical matrix of external regressors, which must have the same number of rows as ts. It should not be a data frame. |
genT |
a boolean value to specify for a generalized t-student SSM model. |
series.name |
an optional string vector with the time series names. |
The function returns a list with the data for running stan()
function of
rstan package.
When genT
option is TRUE
a t-student innovations ssm model (see Ardia (2010)) is generated
see Fonseca, et. al (2019) for more details.
The default priors used in a ssm( ) model are:
level ~ normal(0,0.5)
trend ~ normal(0,0.5)
damped~ normal(0,0.5)
sigma0 ~ t-student(0,1,7)
level1 ~ normal(0,1)
trend1 ~ normal(0,1)
dfv ~ gamma(2,0.1)
breg ~ t-student(0,2.5,6)
For changing the default prior use the function set_prior()
.
The function returns a list with the data for running stan()
function of
rstan package.
Asael Alonzo Matamoros.
Fonseca, T. and Cequeira, V. and Migon, H. and Torres, C. (2019). The effects of
degrees of freedom estimation in the Asymmetric GARCH model with Student-t
Innovations. arXiv doi: arXiv: 1910.01398
.
Sarima
auto.arima
set_prior
garch
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