bsm | R Documentation |

`bsm`

creates/estimates basic structural models for seasonal time
series.

bsm( y, bc = FALSE, seas = c("hd", "ht", "hs"), s2v = c(lvl = 0.2, slp = 0.05, seas = 0.075), s2u = 0.1, xreg = NULL, fSv = NULL, ... )

`y` |
an object of class |

`bc` |
logical. If TRUE logs are taken. |

`seas` |
character, type of seasonality (Harvey-Durbin (hd), Harvey-Todd (ht), Harrison-Steven (ht)) |

`s2v` |
variances of the error vector v_t. |

`s2u` |
variance of the error u_t. |

`xreg` |
matrix of regressors. |

`fSv` |
function to create the covariance matrix of v_t. |

`...` |
other arguments. |

An object of class `stsm`

.

Durbin, J. and Koopman, S.J. (2012) Time Series Analysis by State Space Methods, 2nd ed., Oxford University Press, Oxford.

bsm1 <- bsm(AirPassengers, bc = TRUE)

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