SP500

datasets

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/>.

Alex Hubbard

autostsm

Automatic Structural Time Series Models

SP500 function

<p>data.table with columns DATE and SP500, daily frequency</p>

SP500: S&P 500

Description

Usage

Arguments

Format