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.
# To install from CRAN:
install.packages("rucm")
# Or the development version from GitHub:
# install.packages("devtools")
devtools::install_github("kaushikrch/rucm")
Issues can be reported here.
Package vignette can be found here.
Changes:
predict.ucm()
to use argument newdata
for causal forecasting.Changes:
ucm()
Changes:
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