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>.
Version: 1.0.1 Depends: R (≥ 4.1.0), Rcpp (≥ 0.12.9), tsmethods (≥ 1.0.0) Imports: TMB (≥ 1.7.20), methods, tsaux, tsdistributions, zoo, xts, copula, flextable, data.table, sandwich, nloptr, RTMB, viridisLite, future, future.apply, progressr LinkingTo: Rcpp (≥ 0.12.9), TMB, RcppEigen Suggests: rmarkdown, tstests, knitr, testthat (≥ 3.0.0) Published: 2025-04-28 DOI: 10.32614/CRAN.package.tsissm Author: Alexios Galanos [aut, cre] Maintainer: Alexios Galanos <alexios at 4dscape.com> License: GPL-2 URL: https://github.com/tsmodels/tsissm, https://www.nopredict.com/packages/tsissm NeedsCompilation: yes Materials: NEWS In views: TimeSeries CRAN checks: tsissm resultsRetroSearch is an open source project built by @garambo | Open a GitHub Issue
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