CausalMBSTS (version 0.1.1)

model: Multivariate structural time series model definition

Description

Multivariate structural time series model definition

Usage

model(y, components, seas.period = NULL, cycle.period = NULL)

Arguments

y

t x d data.frame (or matrix) of observations, where d is the number of time series in the multivariate model.

components

Character vector specifying the components of the multivariate structural time series model. Possible values are c("trend", "slope", "seasonal", "cycle").

seas.period

Length of the seasonal pattern, if present.

cycle.period

Length of the cycle pattern, if present.

Value

An object of class 'SSModel'.

Examples

# NOT RUN {
# Example 1 : local level + seasonal
y <- cbind(seq(0.5,200,by=0.5)*0.1 + rnorm(400),
           seq(100.25,200,by=0.25)*0.05 + rnorm(400),
           rnorm(400, 5,1))
model.1 <- model(y, components = c("trend","seasonal"), seas.period = 7)

# Example 2: local level  + cycle
t <- seq(from = 0,to = 4*pi, length.out=300)
y <- cbind(3*sin(2*t)+rnorm(300), 2*cos(2*t) + rnorm(300))
model.2 <- model(y, components = c("trend", "cycle"), cycle.period = 75)
# }