tsissm

tsissm-package

<img src="figures/logo.png?package=tsissm&version=1.0.1" style="float: right" alt="logo" width="120">
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) tools:::Rd_expr_doi("10.1198/jasa.2011.tm09771").

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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

Linear Innovations State Space Unobserved Components Model

Alexios Galanos

tsissm-package function

Maintainer: Alexios Galanos <a href="/link/alexios%404dscape.com?package=tsissm&version=1.0.1" data-mini-rdoc="tsissm::alexios@4dscape.com">alexios@4dscape.com</a> (<a href="https://orcid.org/0009-0000-9308-0457">ORCID</a>)

Author

<img src='figures/logo.png' style='float: right' alt='logo' width='120' />
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) tools:::Rd_expr_doi("10.1198/jasa.2011.tm09771").

tsissm: Linear Innovations State Space Unobserved Components Model — tsissm-package

Maintainer: Alexios Galanos <a href='mailto:alexios@4dscape.com'>alexios@4dscape.com</a> (<a href='https://orcid.org/0009-0000-9308-0457'>ORCID</a>)

tsissm-package: tsissm: Linear Innovations State Space Unobserved Components Model

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