Implementation of Unobserved Components Model (UCM)

Unobserved Components Models (introduced in Harvey, A. (1989), Forecasting, structural time series models and the Kalman filter, Cambridge New York: Cambridge University Press) decomposes a time series into components such as trend, seasonal, cycle, and the regression effects due to predictor series which captures the salient features of the series to predict its behavior.


Build Status

Implementation of Unobserved Components Models (UCM) in R

Description

Unobserved Components Models (introduced in Harvey, A. (1989), Forecasting, structural time series models and the Kalman filter, Cambridge New York: Cambridge University Press) decomposes a time series into components such as trend, seasonal, cycle, and the regression effects due to predictor series which captures the salient features of the series to predict its behavior.

Comments

  • This repository is a working version of R package rucm.
  • A stable version is available for download on CRAN. To download package install.packages("rucm").
  • Package vignette can be found here.

Work-in-progress

  • Implement time-varying independent variable estimation.
  • Update predict.ucm() to use argument newdata for causal forecasting.

Issues

Issues can be reported here.

Package News

rucm v0.4

Changes:

  • Changes in S3 method of printing an UC model. Added p - values for estimates of predictor variables.
  • Added a vignette "Unobserved Components Model in R".
  • Submitted to CRAN on 2014-09-06.

rucm v0.3

  • First submitted to CRAN on 2014-08-25.

News

rucm v0.6

Fixes figure cache in user directory.

rucm v0.5

Changes:

rucm v0.4

Changes:

  • Changes in S3 method of printing an UC model. Added p - values for estimates of predictor variables.
  • Added a vignette "Unobserved Components Model in R".
  • Submitted to CRAN on 2014-09-06.

rucm v0.3

  • First submitted to CRAN on 2014-08-25.

Reference manual

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install.packages("rucm")

0.6 by Kaushik Roy Chowdhury, 4 years ago


Report a bug at https://github.com/kaushikrch/rucm/issues


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


Authors: Kaushik Roy Chowdhury


Documentation:   PDF Manual  


GPL (>= 2) license


Depends on KFAS

Suggests knitr


See at CRAN