Multivariate Bayesian Structural Time Series

Multivariate time series regression using dynamic linear models fit by MCMC. See Qiu, Jammalamadaka and Ning (2018) < http://www.jmlr.org/papers/volume19/18-009/18-009.pdf>.


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install.packages("mbsts")

1.0 by Jinwen Qiu, a year ago


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


Authors: Jinwen Qiu <[email protected]>


Documentation:   PDF Manual  


Task views: Time Series Analysis


LGPL-2.1 license


Depends on pscl, MASS, KFAS, MCMCpack, Matrix


See at CRAN