Automatic Structural Time Series Models

Automatic model selection for structural time series decomposition into trend, cycle, and seasonal components using the Kalman filter. Koopman, Siem Jan and Marius Ooms (2012) "Forecasting Economic Time Series Using Unobserved Components Time Series Models" . Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" < http://econ.korea.ac.kr/~cjkim/>.


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install.packages("autostsm")

1.4 by Alex Hubbard, 14 days ago


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


Authors: Alex Hubbard


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL (>= 2) license


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

Depends on data.table

Suggests knitr, rmarkdown

Linking to Rcpp, RcppArmadillo


See at CRAN