FcBayesianStructuralTimeSeries: Forecasting with Bayesian Structural Time Series

In Mthrun/TSAT: Time Series Analysis Tools (TSAT)

Forecasting with Bayesian Structural Time Series

Description

Forecasting with Bayesian Structural Time Series

Usage

FcBayesianStructuralTimeSeries(DataVec, SplitAt, Time, Frequency = "months", ForecastHorizon, nseasons = 12, niter = 250, burn = 100, PlotIt=FALSE)

Arguments

DataVec	[1:n] numerical vector of time series data.
SplitAt	Index of row where the DataVec is divided into test and train data. If not given n is used
Time	[1:n] character vector of Time in the length of data
Frequency	Either days, weeks, months or quarters or years, see ConvertNumerical2TSobject.
nseasons	Optional, number of seasons. See AddSeasonal
niter	Optional, number of Iterations. See bsts
burn	Optional, Number of MCMC iterations to be discarded as burn-in. See predict.bsts
PlotIt	FALSE (default), do nothing. TRUE: plots the forecast versus test data of time series data.

Details

Wrapper for functions of the bsts package.

Value

List with

Forecast	[1:ForecastHorizon] forecasted values
ForecastTime	[1:ForecastHorizon] Time values of forecasts
UpperLower	[1:2,1:ForecastHorizon] matrix of upper and lower bounds of the credible interval for the prediction, see predict.bsts
ModelPrediction	Object of class predict of bsts package, see predict.bsts
Model	Model object of class bsts, see bsts

Note

doku to be written...

Author(s)

Michael Thrun

References

[Scott/Varian, 2014] Scott, S. L., & Varian, H. R.: Predicting the present with bayesian structural time series, International Journal of Mathematical Modelling and Numerical Optimisation, Vol. 5(1-2), pp. 4-23. 2014.

See Also

bsts

Examples

data("AirPassengers")
AirPassengers=TSAT::ConvertTS2DF(AirPassengers)
ff=FcBayesianStructuralTimeSeries(log(AirPassengers$Data),AirPassengers$Time,SplitDataAt=144-12,PlotIt=TRUE)

##New Data
data("AirPassengers")
AirPassengers=TSAT::ConvertTS2DF(AirPassengers)

ff=FcBayesianStructuralTimeSeries(log(AirPassengers$Data),AirPassengers$Time,SplitDataAt=144,PlotIt=TRUE)

Mthrun/TSAT documentation built on Feb. 5, 2024, 11:15 p.m.