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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.
Package details |
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Author | Kaushik Roy Chowdhury |
Maintainer | Kaushik Roy Chowdhury <kaushikrch@gmail.com> |
License | GPL (>= 2) |
Version | 0.6 |
Package repository | View on CRAN |
Installation |
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