tsissm-package: tsissm: Linear Innovations State Space Unobserved Components...
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tsissm: Linear Innovations State Space Unobserved Components Model
Description
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) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1198/jasa.2011.tm09771")}.
Author(s)
Maintainer: Alexios Galanos alexios@4dscape.com (ORCID)
See Also
Useful links:
tsissm documentation built on Aug. 8, 2025, 6:08 p.m.
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| tsissm-package | R Documentation |
tsissm: Linear Innovations State Space Unobserved Components Model
Description
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) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1198/jasa.2011.tm09771")}.
Author(s)
Maintainer: Alexios Galanos alexios@4dscape.com (ORCID)
See Also
Useful links:
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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