ssm: ssm

In cugliari/enercast: Electrical energy forecast tools

Description

Fit an univariate State Space Model

Usage

ssm(formulaXa, formulaXf = NULL, data, ini = NULL, for.each = "hour",
  cores = parallel::detectCores() - 1)

Arguments

formulaXa	Formula with random regressors (y~x1+x2+x3+x2:x3)
formulaXf	Formula with fixed regressors *without* response variable (~x4+x5)
data	data.frame
ini	List of intial value parameters of length of 'for.each', 24 in hourly data
for.each	Variable of data.frame that indicate frequency
cores	For parallel

Value

fkf.optim fk list(dt=dt,ct=ct,Tt=Tt,Zt=Zt,a0=a0,P0=P0)

Author(s)

Jairo Cugliari, Andres Castrillejo, Fernando Massa, Ignacio Ramirez

References

#' Dordonnat, V. and Koopman, S. J. and Ooms, M. and Dessertaine, A. and Collet, J. (2008) An hourly periodic state space model for modelling French national electricity load. International Journal of Forecasting, 24(4):566–587.

Dordonnat, V. and Koopman, S. J. and Ooms, M. (2012) Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling. Computational Statistics & Data Analysis, 56(11):3134–3152.

cugliari/enercast documentation built on Sept. 15, 2019, 10:13 a.m.