rucm: Implementation of Unobserved Components Model (UCM)

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.

AuthorKaushik Roy Chowdhury
Date of publication2015-11-06 10:28:01
MaintainerKaushik Roy Chowdhury <kaushikrch@gmail.com>
LicenseGPL (>= 2)
Version0.6

View on CRAN

Files

rucm
rucm/inst
rucm/inst/doc
rucm/inst/doc/rucm_vignettes.html
rucm/inst/doc/rucm_vignettes.R
rucm/inst/doc/rucm_vignettes.Rmd
rucm/NAMESPACE
rucm/NEWS
rucm/R
rucm/R/rucm-package.R rucm/R/ucm.R rucm/R/print.ucm.R rucm/R/predict.ucm.R
rucm/vignettes
rucm/vignettes/rucm_vignettes.Rmd
rucm/README.md
rucm/MD5
rucm/build
rucm/build/vignette.rds
rucm/DESCRIPTION
rucm/man
rucm/man/ucm.Rd rucm/man/predict.ucm.Rd rucm/man/rucm-package.Rd rucm/man/print.ucm.Rd

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