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bsts (version 0.9.1)

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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Version

Install

install.packages('bsts')

Monthly Downloads

7,714

Version

0.9.1

License

LGPL-2.1 | file LICENSE

Maintainer

Steven Scott

Last Published

June 7th, 2019

Functions in bsts (0.9.1)

one.step.prediction.errors

Prediction Errors
dirm

Dynamic intercept regression model
aggregate.time.series

Aggregate a fine time series to a coarse summary
add.dynamic.regression

Dynamic Regression State Component
aggregate.weeks.to.months

Aggregate a weekly time series to monthly
estimate.time.scale

Intervals between dates
add.ar

AR(p) state component
plot.bsts

Plotting functions for Bayesian structural time series
iclaims

Initial Claims Data
last.day.in.month

Find the last day in a month
mixed.frequency

Models for mixed frequency time series
wide.to.long

Convert Between Wide and Long Format
shark

Shark Attacks in Florida.
weekday.names

Days of the Week
rsxfs

Retail sales, excluding food services
add.random.walk.holiday

Random Walk Holiday State Model
add.monthly.annual.cycle

Monthly Annual Cycle State Component
named.holidays

Holidays Recognized by Name
match.week.to.month

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

Robust local linear trend
regularize.timestamps

Produce a Regular Series of Time Stamps
summary.bsts

Summarize a Bayesian structural time series object
to.posixt

Convert to POSIXt
new.home.sales

New home sales and Google trends
residuals.bsts

Residuals from a bsts Object
add.trig

Trigonometric Seasonal State Component
dirm-model-optoins

Specify Options for a Dynamic Intercept Regression Model
quarter

Find the quarter in which a date occurs
regression.holiday

Regression Based Holiday Models
diagnostic-plots

Diagnostic Plots
SuggestBurn

Suggested burn-in size
StateSpecification

Add a state component to a Bayesian structural time series model
spike.slab.ar.prior

Spike and Slab Priors for AR Processes
plot.mbsts

Plotting Functions for Multivariate Bayesian Structural Time Series
month.distance

Elapsed time in months
predict.bsts

Prediction for bayesian structural time series
add.local.level

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

Local linear trend state component
auto.ar

Sparse AR(p)
state.sizes

Compute state dimensions
descriptive-plots

Descriptive Plots
bsts

Bayesian Structural Time Series
date.range

Date Range
add.seasonal

Seasonal State Component
max.window.width

Maximum Window Width for a Holiday
plot.bsts.mixed

Plotting functions for mixed frequency Bayesian structural time series
mbsts

Multivariate Bayesian Structural Time Series
add.semilocal.linear.trend

Semilocal Linear Trend
compare.bsts.models

Compare bsts models
bsts.options.Rd

Bsts Model Options
get.fraction

Compute membership fractions
plot.bsts.prediction

Plot predictions from Bayesian structural time series
goog

Google stock price
plot.bsts.predictors

Plot the most likely predictors
turkish

Turkish Electricity Usage
shorten

Shorten long names
plot.holiday

Plot Holiday Effects
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
MATCH.NumericTimestamps

Match Numeric Timestamps
HarveyCumulator

HarveyCumulator
add.shared.local.level

Local level trend state component
add.static.intercept

Static Intercept State Component
holiday

Specifying Holidays
extend.time

Extends a vector of dates to a given length
gdp

Gross Domestic Product for 57 Countries
format.timestamps

Checking for Regularity
geometric.sequence

Create a Geometric Sequence