tsdiagnose.tsissm.estimate

tsdiagnose

Creates a short summary of model based diagnostics.

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

tsdiagnose.tsissm.estimate function

<dl><dt>object</dt>
<dd>an object of class &#8220;tsissm.estimate&#8221;.</dd>
<dt>plot</dt>
<dd>whether to generate diagnostic plots to accompany summary.</dd>
<dt>...</dt>
<dd>not currently used.</dd></dl>

Arguments

Model Diagnostics — tsdiagnose.tsissm.estimate

<dl>

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


<dt>plot</dt>
<dd>whether to generate diagnostic plots to accompany summary.</dd>


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

</dl>

tsdiagnose.tsissm.estimate: Model Diagnostics

Description

Usage

Value

Arguments