Automatic Structural Time Series Models

Automatic model selection for structural time series decomposition into trend, cycle, and seasonal components using the Kalman filter. See Koopman, Siem Jan and Marius Ooms (2012) "Forecasting Economic Time Series Using Unobserved Components Time Series Models .


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install.packages("autostsm")

1.2.1 by Alex Hubbard, 6 days ago


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


Authors: Alex Hubbard


Documentation:   PDF Manual  


GPL (>= 2) license


Imports Matrix, maxLik, forecast, lubridate, tsutils, ggplot2, gridExtra, strucchange, imputeTS, foreach, doSNOW, parallel, zoo, lmtest, tseries, ggrepel, progress

Depends on data.table

Suggests knitr, rmarkdown

Linking to Rcpp, RcppArmadillo


See at CRAN