kaushikrch/rucm: Implementation of Unobserved Components Model (UCM) in R
Version 0.6.1

Unobserved Components Models (introduced in Harvey, A. (1989), Forecasting, structural time series models and the Kalman filter, Cambridge New York: Cambridge University Press) decomposes a time series into components such as trend, seasonal, cycle, and the regression effects due to predictor series which captures the salient features of the series to predict its behavior.

Getting started

Package details

AuthorKaushik Roy Chowdhury
MaintainerKaushik Roy Chowdhury <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
kaushikrch/rucm documentation built on Feb. 6, 2018, 12:31 a.m.