stsm: Structural Time Series models

In tfarima: Transfer Function and ARIMA Models

Structural Time Series models

Description

stsm creates an S3 object representing a time-invariant structural time series model.

Usage

stsm(y, b, C, fSv, s2v, s2u = 1, xreg = NULL, bc = FALSE, fit = TRUE, ...)

Arguments

y	an object of class ts.
b	vector of constants.
C	matrix of constants.
fSv	function to create the covariance matrix of v_t.
s2v	variances of the vector error v_t in the state equation.
s2u	variance of the error u_t in the observation equation.
xreg	matrix of regressors.
bc	logical. If TRUE logs are taken.
fit	logical. If TRUE, model is fitted.
...	other arguments.

Details

y_t = b'x_t + u_t (observation equation), x_t = Cx_t-1 + v_t (state equation).

Value

An object of class stsm.

References

Durbin, J. and Koopman, S.J. (2012) Time Series Analysis

Examples

# Local level model
b <- 1
C <- as.matrix(1)
stsm1 <- stsm(Nile, b, C, s2v = c(lvl = 0.5), s2u = c(irr = 1))
stsm1

tfarima documentation built on May 20, 2022, 5:06 p.m.