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bsts (version 0.8.0)

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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Version

Install

install.packages('bsts')

Monthly Downloads

8,428

Version

0.8.0

License

LGPL-2.1 | file LICENSE

Maintainer

Steven Scott

Last Published

May 7th, 2018

Functions in bsts (0.8.0)

format.timestamps

Checking for Regularity
estimate.time.scale

Intervals between dates
plot.bsts.prediction

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

Plot the most likely predictors
geometric.sequence

Create a Geometric Sequence
get.fraction

Compute membership fractions
goog

Google stock price
one.step.prediction.errors

Prediction Errors
add.semilocal.linear.trend

Semilocal Linear Trend
extend.time

Extends a vector of dates to a given length
named.holidays

Holidays Recognized by Name
new.home.sales

New home sales and Google trends
spike.slab.ar.prior

Spike and Slab Priors for AR Processes
last.day.in.month

Find the last day in a month
plot.holiday

Plot Holiday Effects
predict.bsts

Prediction for bayesian structural time series
month.distance

Elapsed time in months
state.sizes

Compute state dimensions
match.week.to.month

Find the month containing a week
rsxfs

Retail sales, excluding food services
diagnostic-plots

Diagnostic Plots
descriptive-plots

Descriptive Plots
holiday

Specifying Holidays
compare.bsts.models

Compare bsts models
residuals.bsts

Residuals from a bsts Object
max.window.width

Maximum Window Width for a Holiday
regularize.timestamps

Produce a Regular Series of Time Stamps
week.ends

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

Turkish Electricity Usage
mixed.frequency

Models for mixed frequency time series
date.range

Date Range
iclaims

Initial Claims Data
quarter

Find the quarter in which a date occurs
weekday.names

Days of the Week
plot.bsts

Plotting functions for Bayesian structural time series
summary.bsts

Summarize a Bayesian structural time series object
regression.holiday

Regression Based Holiday Models
shark

Shark Attacks in Florida.
plot.bsts.mixed

Plotting functions for mixed frequency Bayesian structural time series
to.posixt

Convert to POSIXt
shorten

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

Simulate fake mixed frequency data
MATCH.NumericTimestamps

Match Numeric Timestamps
add.monthly.annual.cycle

Monthly Annual Cycle State Component
StateSpecification

Add a state component to a Bayesian structural time series model
add.ar

AR(p) state component
SuggestBurn

Suggested burn-in size
add.local.linear.trend

Local linear trend state component
add.local.level

Local level trend state component
add.dynamic.regression

Dynamic Regression State Component
aggregate.weeks.to.months

Aggregate a weekly time series to monthly
add.trig

Trigonometric Seasonal State Component
HarveyCumulator

HarveyCumulator
add.random.walk.holiday

Random Walk Holiday State Model
auto.ar

Sparse AR(p)
add.static.intercept

Static Intercept State Component
bsts

Bayesian structural time series
add.seasonal

Seasonal State Component
aggregate.time.series

Aggregate a fine time series to a coarse summary
bsts.options.Rd

Bsts Model Options
add.student.local.linear.trend

Robust local linear trend