stsm_bdiag

Build a block diagonal matrix from two matrices

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

stsm_bdiag function

<dl><dt>A</dt>
<dd>The top left matrix</dd>
<dt>B</dt>
<dd>The bottom right matrix</dd></dl>

Arguments

Build a block diagonal matrix from two matrices — stsm_bdiag

<dl>

<dt>A</dt>
<dd>The top left matrix</dd>


<dt>B</dt>
<dd>The bottom right matrix</dd>

</dl>

stsm_bdiag: Build a block diagonal matrix from two matrices

Description

Usage

Value

Arguments