tsissm: Linear Innovations State Space Unobserved Components Model

Unobserved components time series model using the linear innovations state space representation (single source of error) with choice of error distributions and option for dynamic variance. Methods for estimation using automatic differentiation, automatic model selection and ensembling, prediction, filtering, simulation and backtesting. Based on the model described in Hyndman et al (2012) <doi:10.1198/jasa.2011.tm09771>.

Package overview The Innovations State Space Model Automatic Selection and Ensembling Filtering and Prediction Regular Spacings and Seasonality The Innovations State Space Model Variance Dynamics

Vignettes Man pages API and functions Files

Package details
Author	Alexios Galanos [aut, cre] (ORCID: <https://orcid.org/0009-0000-9308-0457>)
Maintainer	Alexios Galanos <alexios@4dscape.com>
License	GPL-2
Version	1.0.2
URL	https://github.com/tsmodels/tsissm https://www.nopredict.com/packages/tsissm
Package repository	View on CRAN
Installation	Install the latest version of this package by entering the following in R: `install.packages("tsissm")`