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bsts (version 0.9.6)

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

2,421

Version

0.9.6

License

LGPL-2.1 | file LICENSE

Maintainer

Steven Scott

Last Published

April 7th, 2021

Functions in bsts (0.9.6)

add.ar

AR(p) state component
MATCH.NumericTimestamps

Match Numeric Timestamps
SuggestBurn

Suggested burn-in size
add.monthly.annual.cycle

Monthly Annual Cycle State Component
add.local.linear.trend

Local linear trend state component
add.local.level

Local level trend state component
HarveyCumulator

HarveyCumulator
StateSpecification

Add a state component to a Bayesian structural time series model
add.shared.local.level

Local level trend state component
add.random.walk.holiday

Random Walk Holiday State Model
add.dynamic.regression

Dynamic Regression State Component
add.seasonal

Seasonal State Component
add.semilocal.linear.trend

Semilocal Linear Trend
aggregate.time.series

Aggregate a fine time series to a coarse summary
aggregate.weeks.to.months

Aggregate a weekly time series to monthly
bsts.options.Rd

Bsts Model Options
add.static.intercept

Static Intercept State Component
date.range

Date Range
descriptive-plots

Descriptive Plots
compare.bsts.models

Compare bsts models
extend.time

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

Checking for Regularity
holiday

Specifying Holidays
iclaims

Initial Claims Data
match.week.to.month

Find the month containing a week
last.day.in.month

Find the last day in a month
auto.ar

Sparse AR(p)
estimate.time.scale

Intervals between dates
dirm

Dynamic intercept regression model
plot.bsts.mixed

Plotting functions for mixed frequency Bayesian structural time series
max.window.width

Maximum Window Width for a Holiday
bsts

Bayesian Structural Time Series
named.holidays

Holidays Recognized by Name
plot.bsts.prediction

Plot predictions from Bayesian structural time series
add.student.local.linear.trend

Robust local linear trend
regression.holiday

Regression Based Holiday Models
new.home.sales

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

Prediction Errors
plot.bsts

Plotting functions for Bayesian structural time series
residuals.bsts

Residuals from a bsts Object
mbsts

Multivariate Bayesian Structural Time Series
plot.bsts.predictors

Plot the most likely predictors
geometric.sequence

Create a Geometric Sequence
wide.to.long

Convert Between Wide and Long Format
rsxfs

Retail sales, excluding food services
gdp

Gross Domestic Product for 57 Countries
plot.holiday

Plot Holiday Effects
week.ends

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

Produce a Regular Series of Time Stamps
add.trig

Trigonometric Seasonal State Component
diagnostic-plots

Diagnostic Plots
shark

Shark Attacks in Florida.
weekday.names

Days of the Week
get.fraction

Compute membership fractions
goog

Google stock price
dirm-model-optoins

Specify Options for a Dynamic Intercept Regression Model
plot.mbsts

Plotting Functions for Multivariate Bayesian Structural Time Series
shorten

Shorten long names
month.distance

Elapsed time in months
plot.mbsts.prediction

Plot Multivariate Bsts Predictions
mixed.frequency

Models for mixed frequency time series
simulate.fake.mixed.frequency.data

Simulate fake mixed frequency data
summary.bsts

Summarize a Bayesian structural time series object
state.sizes

Compute state dimensions
quarter

Find the quarter in which a date occurs
predict.bsts

Prediction for bayesian structural time series
to.posixt

Convert to POSIXt
spike.slab.ar.prior

Spike and Slab Priors for AR Processes
turkish

Turkish Electricity Usage