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.

Author
Kaushik Roy Chowdhury
Date of publication
2015-11-06 10:28:01
Maintainer
Kaushik Roy Chowdhury <kaushikrch@gmail.com>
License
GPL (>= 2)
Version
0.6

View on CRAN

Man pages

predict.ucm
Unobserved Components Model Predictions
print.ucm
Print ucm Object
rucm-package
rucm: Functions to model and predict a time series using...
ucm
Unobserved components methods for a time series

Files in this package

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