stsm_format_exo

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_format_exo function

<dl><dt>exo_obs</dt>
<dd>exogenous observation data</dd>
<dt>exo_state</dt>
<dd>exogenous state data</dd>
<dt>dates</dt>
<dd>dates vector</dd>
<dt>range</dt>
<dd>range of data to include</dd></dl>

Arguments

Format exo — stsm_format_exo

<dl>

<dt>exo_obs</dt>
<dd>exogenous observation data</dd>


<dt>exo_state</dt>
<dd>exogenous state data</dd>


<dt>dates</dt>
<dd>dates vector</dd>


<dt>range</dt>
<dd>range of data to include</dd>

</dl>

stsm_format_exo: Format exo

Description

Usage

Value

Arguments