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

Files in this package

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.