sigma.tsissm.estimate

sigma

The Standard Deviation of the model

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

sigma.tsissm.estimate function

<dl><dt>object</dt>
<dd>an object of class &#8220;tsissm.estimate&#8221;.</dd>
<dt>...</dt>
<dd>none.</dd></dl>

Arguments

The Standard Deviation of the model — sigma.tsissm.estimate

<dl>

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


<dt>...</dt>
<dd>none.</dd>

</dl>

sigma.tsissm.estimate: The Standard Deviation of the model

Description

Usage

Value

Arguments