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bsts (version 0.9.0)

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

7,714

Version

0.9.0

License

LGPL-2.1 | file LICENSE

Maintainer

Steven Scott

Last Published

May 21st, 2019

Functions in bsts (0.9.0)

add.ar

AR(p) state component
add.dynamic.regression

Dynamic Regression State Component
auto.ar

Sparse AR(p)
bsts

Bayesian Structural Time Series
HarveyCumulator

HarveyCumulator
MATCH.NumericTimestamps

Match Numeric Timestamps
extend.time

Extends a vector of dates to a given length
add.seasonal

Seasonal State Component
format.timestamps

Checking for Regularity
max.window.width

Maximum Window Width for a Holiday
add.local.level

Local level trend state component
add.local.linear.trend

Local linear trend state component
mixed.frequency

Models for mixed frequency time series
add.semilocal.linear.trend

Semilocal Linear Trend
month.distance

Elapsed time in months
aggregate.time.series

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

Bsts Model Options
compare.bsts.models

Compare bsts models
last.day.in.month

Find the last day in a month
named.holidays

Holidays Recognized by Name
weekday.names

Days of the Week
wide.to.long

Convert Between Wide and Long Format
simulate.fake.mixed.frequency.data

Simulate fake mixed frequency data
shorten

Shorten long names
SuggestBurn

Suggested burn-in size
StateSpecification

Add a state component to a Bayesian structural time series model
match.week.to.month

Find the month containing a week
add.student.local.linear.trend

Robust local linear trend
plot.bsts.prediction

Plot predictions from Bayesian structural time series
aggregate.weeks.to.months

Aggregate a weekly time series to monthly
add.trig

Trigonometric Seasonal State Component
descriptive-plots

Descriptive Plots
plot.bsts.predictors

Plot the most likely predictors
date.range

Date Range
residuals.bsts

Residuals from a bsts Object
regularize.timestamps

Produce a Regular Series of Time Stamps
add.monthly.annual.cycle

Monthly Annual Cycle State Component
diagnostic-plots

Diagnostic Plots
get.fraction

Compute membership fractions
summary.bsts

Summarize a Bayesian structural time series object
add.random.walk.holiday

Random Walk Holiday State Model
goog

Google stock price
add.shared.local.level

Local level trend state component
new.home.sales

New home sales and Google trends
dirm-model-optoins

Specify Options for a Dynamic Intercept Regression Model
add.static.intercept

Static Intercept State Component
gdp

Gross Domestic Product for 57 Countries
dirm

Dynamic intercept regression model
to.posixt

Convert to POSIXt
estimate.time.scale

Intervals between dates
holiday

Specifying Holidays
geometric.sequence

Create a Geometric Sequence
iclaims

Initial Claims Data
plot.holiday

Plot Holiday Effects
plot.bsts

Plotting functions for Bayesian structural time series
one.step.prediction.errors

Prediction Errors
shark

Shark Attacks in Florida.
rsxfs

Retail sales, excluding food services
predict.bsts

Prediction for bayesian structural time series
quarter

Find the quarter in which a date occurs
regression.holiday

Regression Based Holiday Models
plot.bsts.mixed

Plotting functions for mixed frequency Bayesian structural time series
spike.slab.ar.prior

Spike and Slab Priors for AR Processes
state.sizes

Compute state dimensions
turkish

Turkish Electricity Usage
week.ends

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