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) .


Reference manual

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2.2.2 by Diego J. Pedregal, 7 months ago

Browse source code at

Authors: Diego J. Pedregal [aut, cre]

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL-3 license

Imports stats

Depends on Rcpp

Suggests knitr, rmarkdown

Linking to Rcpp, RcppArmadillo

See at CRAN