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

Description Author(s) References See Also Examples

Description

Add a state component to the state.specification argument in a bsts model.

Author(s)

Steven L. Scott [email protected]

References

Harvey (1990), "Forecasting, structural time series, and the Kalman filter", Cambridge University Press.

Durbin and Koopman (2001), "Time series analysis by state space methods", Oxford University Press.

See Also

bsts. SdPrior NormalPrior Ar1CoefficientPrior

Examples

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  data(AirPassengers)
  y <- log(AirPassengers)
  ss <- AddLocalLinearTrend(list(), y)
  ss <- AddSeasonal(ss, y, nseasons = 12)
  model <- bsts(y, state.specification = ss, niter = 500)
  pred <- predict(model, horizon = 12, burn = 100)
  plot(pred)

Example output

Loading required package: BoomSpikeSlab
Loading required package: Boom
Loading required package: MASS

Attaching package: 'Boom'

The following object is masked from 'package:stats':

    rWishart

Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: xts
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bsts documentation built on May 29, 2017, 10:28 p.m.