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bsts (version 0.6.0)

Bayesian structural time series

Description

Time series regression using dynamic linear models fit using MCMC.

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Version

Install

install.packages('bsts')

Monthly Downloads

8,428

Version

0.6.0

License

LGPL-2.1 | file LICENSE

Maintainer

Steven Scott

Last Published

December 3rd, 2014

Functions in bsts (0.6.0)

mixed.frequency

Models for mixed frequency time series
compare.bsts.models

Compare bsts models
estimate.time.scale

Intervals between dates
aggregate.time.series

Aggregate a fine time series to a coarse summary
SuggestBurn

Suggested burn-in size
add.ar

AR(p) state component
aggregate.weeks.to.months

Aggregate a weekly time series to monthly
rsxfs

Retail sales, excluding food services
plot.bsts.predictors

Plot the most likely predictors
add.generalized.local.linear.trend

A generalized local linear trend state component
last.day.in.month

Find the last day in a month
plot.bsts

Plotting functions for Bayesian structural time series
goog

Google stock price
state.sizes

Compute state dimensions
summary.bsts

Summarize a Bayesian structural time series object
shorten

Shorten long names
add.dynamic.regression

Dynamic regression state component
new.home.sales

New home sales and Google trends
add.holiday

Holiday state models
bsts.prediction.errors

One step prediction errors
plot.seasonal.effect

Plot bsts seasonal effects
add.local.level

Local level trend state component
plot.holidays

Plot bsts holidays
add.seasonal

Seasonal state component
add.student.local.linear.trend

Robust local linear trend
TimeSeriesBoxplot

A time series of boxplots
PlotDynamicDistribution

Plots the evolution of a distribution over time.
month.distance

Elapsed time in months
StateSpecification

Add a state component to a Bayesian structural time series model
bsts

Bayesian structural time series
match.week.to.month

Find the month containing a week
HarveyCumulator

HarveyCumulator
get.fraction

Compute membership fractions
bsts.holdout.prediction.errors

One step prediction errors on a holdout sample
extend.time

Extends a vector of dates to a given length
quarter

Find the quarter in which a date occurs
plot.bsts.mixed

Plotting functions for mixed frequency Bayesian structural time series
predict.bsts

Prediction for bayesian structural time series
add.local.linear.trend

Local linear trend state component
week.ends

Check to see if a week contains the end of a month or quarter
simulate.fake.mixed.frequency.data

Simulate fake mixed frequency data
plot.bsts.prediction

Plot predictions from Bayesian structural time series