tslinear

Estimates a simple linear time series model with trend, seasonal and
regressors.

A suite of auxiliary functions that enhance time series estimation and forecasting, including a robust anomaly detection routine based on Chen and Liu (1993) <doi:10.2307/2290724> (imported and wrapped from the 'tsoutliers' package), utilities for managing calendar and time conversions, performance metrics to assess both point forecasts and distributional predictions, advanced simulation by allowing the generation of time series components—such as trend, seasonal, ARMA, irregular, and anomalies—in a modular fashion based on the innovations form of the state space model and a number of transformation methods including Box-Cox, Logit, 'Softplus-Logit' and Sigmoid.

Alexios Ghalanos

tsaux

Time Series Forecasting Auxiliary Functions

Alexios Galanos

tslinear function

<dl><dt>y</dt>
<dd>a vector.</dd>
<dt>trend</dt>
<dd>whether to include a linear trend.</dd>
<dt>seasonal</dt>
<dd>whether to include seasonal dummies.</dd>
<dt>xreg</dt>
<dd>an optional matrix of regressors.</dd>
<dt>frequency</dt>
<dd>the frequency of the series (required if seasonal is TRUE).</dd>
<dt>...</dt>
<dd>not currently used.</dd></dl>

Arguments

Author

Linear Time Series Filter — tslinear

<dl>

<dt>y</dt>
<dd>a vector.</dd>


<dt>trend</dt>
<dd>whether to include a linear trend.</dd>


<dt>seasonal</dt>
<dd>whether to include seasonal dummies.</dd>


<dt>xreg</dt>
<dd>an optional matrix of regressors.</dd>


<dt>frequency</dt>
<dd>the frequency of the series (required if seasonal is TRUE).</dd>


<dt>...</dt>
<dd>not currently used.</dd>

</dl>

tslinear: Linear Time Series Filter

Description

Usage

Value

Arguments

Author