Unobserved Components Models (introduced in Harvey, A. (1989), Forecasting, structural time series models and the Kalman filter, Cambridge New York: Cambridge University Press) decomposes a time series into components such as trend, seasonal, cycle, and the regression effects due to predictor series which captures the salient features of the series to predict its behavior.
|Author||Kaushik Roy Chowdhury|
|Date of publication||2015-11-06 10:28:01|
|Maintainer||Kaushik Roy Chowdhury <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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