bsts: Bayesian Structural Time Series

Time series regression using dynamic linear models fit using MCMC.

Author
Steven L. Scott <stevescott@google.com>
Date of publication
2016-08-19 00:50:59
Maintainer
Steven L. Scott <stevescott@google.com>
License
LGPL-2.1 | file LICENSE
Version
0.6.5

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