Package: autostsm 3.1.5

autostsm: Automatic Structural Time Series Models

Automatic model selection for structural time series decomposition into trend, cycle, and seasonal components, plus optionality for structural interpolation, using the Kalman filter. Koopman, Siem Jan and Marius Ooms (2012) "Forecasting Economic Time Series Using Unobserved Components Time Series Models" <doi:10.1093/oxfordhb/9780195398649.013.0006>. Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" <doi:10.7551/mitpress/6444.001.0001><http://econ.korea.ac.kr/~cjkim/>.

Authors:Alex Hubbard [aut, cre]

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autostsm.pdf |autostsm.html✨
autostsm/json (API)
NEWS

# Install 'autostsm' in R:
install.packages('autostsm', repos = c('https://hubbardalex.r-universe.dev', 'https://cloud.r-project.org'))
Datasets:
  • DGS5 - 5 Year Treasury Yield
  • GDP - US GDP Seasonally Adjusted
  • NA000334Q - US GDP Not Seasonally Adjusted
  • SP500 - S&P 500
  • UNRATE - Unemployment Rate Seasonally Adjusted
  • UNRATENSA - Unemployment Rate Not Seasonally Adjusted

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

3.55 score 29 scripts 1.2k downloads 12 exports 66 dependencies

Last updated 10 months agofrom:e875a3b77d. Checks:8 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 03 2025
R-4.5-winOKMar 03 2025
R-4.5-macOKMar 03 2025
R-4.5-linuxOKMar 03 2025
R-4.4-winOKMar 03 2025
R-4.4-macOKMar 03 2025
R-4.3-winOKMar 03 2025
R-4.3-macOKMar 03 2025

Exports:stsm_detect_anomaliesstsm_detect_breaksstsm_detect_cyclestsm_detect_frequencystsm_detect_multiplicativestsm_detect_seasonalitystsm_detect_trendstsm_estimatestsm_filterstsm_forecaststsm_priorstsm_ssm

Dependencies:clicodetoolscolorspacecpp11crayoncurldata.tabledigestdoSNOWfansifarverforeachforecastfracdiffgenericsggplot2ggrepelgluegridExtragtablehmsisobanditeratorsjsonlitekalmanfilterlabelinglatticelifecyclelmtestlubridatemagrittrMASSMatrixmaxLikmgcvmiscToolsmunsellnlmennetpillarpkgconfigprettyunitsprogressquadprogquantmodR6RColorBrewerRcppRcppArmadillorlangsandwichscalessnowstrucchangetibbletimechangetimeDatetseriesTTRurcautf8vctrsviridisLitewithrxtszoo

Automatic Structural Time Series Model

Rendered fromautostsm_vignette.Rmdusingknitr::rmarkdownon Mar 03 2025.

Last update: 2024-03-09
Started: 2021-01-15