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bsts (version 0.7.1)

Bayesian Structural Time Series

Description

Time series regression using dynamic linear models fit using MCMC. See Scott and Varian (2014) , among many other sources.

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Install

install.packages('bsts')

Monthly Downloads

8,428

Version

0.7.1

License

LGPL-2.1 | file LICENSE

Maintainer

Steven Scott

Last Published

May 28th, 2017

Functions in bsts (0.7.1)

StateSpecification

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

Suggested burn-in size
HarveyCumulator

HarveyCumulator
MATCH.NumericTimestamps

Match Numeric Timestamps
add.holiday

Holiday state models
add.local.level

Local level trend state component
add.ar

AR(p) state component
add.dynamic.regression

Dynamic Regression State Component
add.local.linear.trend

Local linear trend state component
add.seasonal

Seasonal state component
add.trig

Trigonometric seasonal state component
aggregate.time.series

Aggregate a fine time series to a coarse summary
add.semilocal.linear.trend

Semilocal Linear Trend
add.student.local.linear.trend

Robust local linear trend
last.day.in.month

Find the last day in a month
match.week.to.month

Find the month containing a week
plot.bsts

Plotting functions for Bayesian structural time series
plot.bsts.mixed

Plotting functions for mixed frequency Bayesian structural time series
geometric.sequence

Create a Geometric Sequence
get.fraction

Compute membership fractions
new.home.sales

New home sales and Google trends
one.step.prediction.errors

Prediction Errors
bsts

Bayesian structural time series
bsts.options.Rd

Bsts Model Options
goog

Google stock price
iclaims

Initial Claims Data
plot.holidays

Plot bsts holidays
predict.bsts

Prediction for bayesian structural time series
shorten

Shorten long names
simulate.fake.mixed.frequency.data

Simulate fake mixed frequency data
compare.bsts.models

Compare bsts models
estimate.time.scale

Intervals between dates
extend.time

Extends a vector of dates to a given length
format.timestamps

Checking for Regularity
quarter

Find the quarter in which a date occurs
regularize.timestamps

Produce a Regular Series of Time Stamps
residuals.bsts

Residuals from a bsts Object
rsxfs

Retail sales, excluding food services
auto.ar

Sparse AR(p)
mixed.frequency

Models for mixed frequency time series
month.distance

Elapsed time in months
plot.bsts.prediction

Plot predictions from Bayesian structural time series
plot.bsts.predictors

Plot the most likely predictors
spike.slab.ar.prior

Spike and Slab Priors for AR Processes
state.sizes

Compute state dimensions
aggregate.weeks.to.months

Aggregate a weekly time series to monthly
summary.bsts

Summarize a Bayesian structural time series object
week.ends

Check to see if a week contains the end of a month or quarter