estfun.tsissm.estimate

Unobserved components time series model using the linear innovations state space representation (single source of error) with choice of error distributions and option for dynamic variance. Methods for estimation using automatic differentiation, automatic model selection and ensembling, prediction, filtering, simulation and backtesting. Based on the model described in Hyndman et al (2012) <doi:10.1198/jasa.2011.tm09771>.

Alexios Ghalanos

tsissm

Linear Innovations State Space Unobserved Components Model

Alexios Galanos

estfun.tsissm.estimate function

<dl><dt>x</dt>
<dd>an object of class &#8220;tsissm.estimate&#8221;.</dd>
<dt>...</dt>
<dd>not currently used.</dd></dl>

Arguments

Author

Score Method — estfun.tsissm.estimate

<dl>

<dt>x</dt>
<dd>an object of class &#8220;tsissm.estimate&#8221;.</dd>


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

</dl>

estfun.tsissm.estimate: Score Method

Description

Usage

Value

Arguments

Author

Details