Multivariate Bayesian Structural Time Series

Tools for data analysis with multivariate Bayesian structural time series (MBSTS) models. Specifically, the package provides facilities for implementing general structural time series models, flexibly adding on different time series components (trend, season, cycle, and regression), simulating them, fitting them to multivariate correlated time series data, conducting feature selection on the regression component.


Reference manual

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2.2 by Jinwen Qiu, 4 months ago

Browse source code at

Authors: Jinwen Qiu <[email protected]> , Ning Ning <[email protected]>

Documentation:   PDF Manual  

Task views: Time Series Analysis

LGPL-2.1 license

Imports KFAS, Matrix, pscl, MCMCpack, MASS, ggplot2, reshape2, BBmisc, matrixStats, methods

See at CRAN