bsts: Bayesian Structural Time Series

Time series regression using dynamic linear models fit using MCMC.

AuthorSteven L. Scott <stevescott@google.com>
Date of publication2016-08-19 00:50:59
MaintainerSteven L. Scott <stevescott@google.com>
LicenseLGPL-2.1 | file LICENSE
Version0.6.5

View on CRAN

Man pages

add.ar: AR(p) state component

add.dynamic.regression: Dynamic Regression State Component

add.generalized.local.linear.trend: A generalized local linear trend state component

add.holiday: Holiday state models

add.local.level: Local level trend state component

add.local.linear.trend: Local linear trend state component

add.seasonal: Seasonal state component

add.student.local.linear.trend: Robust local linear trend

add.trig: Trigonometric seasonal state component

aggregate.time.series: Aggregate a fine time series to a coarse summary

aggregate.weeks.to.months: Aggregate a weekly time series to monthly

bsts: Bayesian structural time series

bsts.holdout.prediction.errors: One step prediction errors on a holdout sample

compare.bsts.models: Compare bsts models

estimate.time.scale: Intervals between dates

extend.time: Extends a vector of dates to a given length

get.fraction: Compute membership fractions

goog: Google stock price

HarveyCumulator: HarveyCumulator

iclaims: Initial Claims Data

last.day.in.month: Find the last day in a month

match.week.to.month: Find the month containing a week

mixed.frequency: Models for mixed frequency time series

month.distance: Elapsed time in months

new.home.sales: New home sales and Google trends

one.step.prediction.errors: One step prediction errors

plot.bsts: Plotting functions for Bayesian structural time series

plot.bsts.mixed: Plotting functions for mixed frequency Bayesian structural...

plot.bsts.prediction: Plot predictions from Bayesian structural time series

plot.bsts.predictors: Plot the most likely predictors

plot.holidays: Plot bsts holidays

predict.bsts: Prediction for bayesian structural time series

quarter: Find the quarter in which a date occurs

residuals.bsts: Residuals from a bsts Object

rsxfs: Retail sales, excluding food services

shorten: Shorten long names

simulate.fake.mixed.frequency.data: Simulate fake mixed frequency data

state.sizes: Compute state dimensions

StateSpecification: Add a state component to a Bayesian structural time series...

SuggestBurn: Suggested burn-in size

summary.bsts: Summarize a Bayesian structural time series object

timeseries.boxplot: A time series of boxplots

week.ends: Check to see if a week contains the end of a month or quarter

Functions

AddAr Man page
AddDynamicRegression Man page
AddFixedDateHoliday Man page
AddGeneralizedLocalLinearTrend Man page
AddLastWeekdayInMonthHoliday Man page
AddLocalLevel Man page
AddLocalLinearTrend Man page
AddNamedHolidays Man page
AddNthWeekdayInMonthHoliday Man page
AddSeasonal Man page
AddStudentLocalLinearTrend Man page
AddTrig Man page
AggregateTimeSeries Man page
AggregateWeeksToMonths Man page
bsts Man page
bsts.holdout.prediction.errors Man page
bsts.mixed Man page
bsts.prediction Man page
bsts.prediction.errors Man page
CompareBstsModels Man page
EstimateTimeScale Man page
ExtendTime Man page
GetFractionOfDaysInInitialMonth Man page
GetFractionOfDaysInInitialQuarter Man page
goog Man page
GOOG Man page
HarveyCumulator Man page
iclaims Man page
initial.claims Man page
LastDayInMonth Man page
MatchWeekToMonth Man page
MonthDistance Man page
NamedHolidays Man page
new.home.sales Man page
plot.bsts Man page
PlotBstsCoefficients Man page
PlotBstsComponents Man page
PlotBstsForecastDistribution Man page
plot.bsts.mixed Man page
PlotBstsMixedComponents Man page
PlotBstsMixedState Man page
plot.bsts.prediction Man page
PlotBstsPredictionErrors Man page
PlotBstsPredictors Man page
PlotBstsResiduals Man page
PlotBstsSize Man page
PlotBstsState Man page
PlotDynamicRegression Man page
PlotHolidays Man page
PlotSeasonalEffect Man page
predict.bsts Man page
Quarter Man page
residuals.bsts Man page
retail.sales Man page
rsxfs Man page
RSXFS Man page
Shorten Man page
SimulateFakeMixedFrequencyData Man page
StateSizes Man page
state.specification Man page
StateSpecification Man page
SuggestBurn Man page
summary.bsts Man page
TimeSeriesBoxplot Man page
WeekEndsMonth Man page
WeekEndsQuarter Man page

Files

bsts
bsts/src
bsts/src/aggregate_time_series.cc
bsts/src/state_space_gaussian_model_manager.cc
bsts/src/state_space_poisson_model_manager.h
bsts/src/Makevars
bsts/src/mixed_frequency.cc
bsts/src/state_space_student_model_manager.cc
bsts/src/state_space_gaussian_model_manager.h
bsts/src/bsts.cc
bsts/src/state_space_logit_model_manager.h
bsts/src/state_space_logit_model_manager.cc
bsts/src/state_space_regression_model_manager.cc
bsts/src/utils.h
bsts/src/model_manager.cc
bsts/src/state_space_regression_model_manager.h
bsts/src/state_space_student_model_manager.h
bsts/src/utils.cc
bsts/src/model_manager.h
bsts/src/state_space_poisson_model_manager.cc
bsts/NAMESPACE
bsts/data
bsts/data/new.home.sales.RData
bsts/data/iclaims.RData
bsts/data/rsxfs.RData
bsts/data/goog.RData
bsts/R
bsts/R/format.learning.data.R bsts/R/utils.R bsts/R/add.dynamic.regression.R bsts/R/add.local.level.R bsts/R/add.holiday.R bsts/R/add.local.linear.trend.R bsts/R/date.functions.R bsts/R/plot_seasonal_effect.R bsts/R/mixed.frequency.R bsts/R/diagnostics.R bsts/R/add.ar.R bsts/R/bsts.R bsts/R/compare.bsts.models.R bsts/R/add.student.local.linear.trend.R bsts/R/plots.R bsts/R/time_series_boxplot.R bsts/R/add.trig.R bsts/R/add.generalized.local.linear.trend.R bsts/R/plot.holidays.R bsts/R/summary.bsts.R bsts/R/format.prediction.data.R bsts/R/add.seasonal.R bsts/R/predict.bsts.R
bsts/MD5
bsts/DESCRIPTION
bsts/man
bsts/man/predict.bsts.Rd bsts/man/state.sizes.Rd bsts/man/add.holiday.Rd bsts/man/add.student.local.linear.trend.Rd bsts/man/get.fraction.Rd bsts/man/plot.bsts.predictors.Rd bsts/man/summary.bsts.Rd bsts/man/one.step.prediction.errors.Rd bsts/man/new.home.sales.Rd bsts/man/mixed.frequency.Rd bsts/man/quarter.Rd bsts/man/aggregate.time.series.Rd bsts/man/bsts.Rd bsts/man/aggregate.weeks.to.months.Rd bsts/man/add.local.level.Rd bsts/man/add.trig.Rd bsts/man/add.local.linear.trend.Rd bsts/man/simulate.fake.mixed.frequency.data.Rd bsts/man/shorten.Rd bsts/man/timeseries.boxplot.Rd bsts/man/goog.Rd bsts/man/last.day.in.month.Rd bsts/man/add.ar.Rd bsts/man/month.distance.Rd bsts/man/residuals.bsts.Rd bsts/man/plot.bsts.Rd bsts/man/StateSpecification.Rd bsts/man/compare.bsts.models.Rd bsts/man/bsts.holdout.prediction.errors.Rd bsts/man/add.dynamic.regression.Rd bsts/man/extend.time.Rd bsts/man/add.seasonal.Rd bsts/man/plot.bsts.prediction.Rd bsts/man/SuggestBurn.Rd bsts/man/rsxfs.Rd bsts/man/iclaims.Rd bsts/man/HarveyCumulator.Rd bsts/man/match.week.to.month.Rd bsts/man/plot.bsts.mixed.Rd bsts/man/week.ends.Rd bsts/man/estimate.time.scale.Rd bsts/man/add.generalized.local.linear.trend.Rd bsts/man/plot.holidays.Rd
bsts/LICENSE

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