rucm

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.