Automatic Unobserved Components Models

Comprehensive analysis and forecasting of univariate time series using automatic unobserved components models and algorithms. Harvey, AC (1989) . Pedregal, DJ and Young PC (2002) . Durbin J and Koopman SJ (2012) .


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install.packages("UComp")

2.1 by Diego J. Pedregal, 24 days ago


Browse source code at https://github.com/cran/UComp


Authors: Diego J. Pedregal [aut, cre]


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL-3 license


Imports stats

Depends on Rcpp

Linking to Rcpp, RcppArmadillo


See at CRAN