autostsm
Automatic Structural Time Series Models
Last update: 9 February 2024
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 3.1.0, 1.0, 1.1, 1.2.1, 1.2.2, 1.2, 1.3, 1.4, 1.5, 1.6, 2.0, 2.1.1, 2.1, 3.0.0, 3.0.1, 3.0.2, 3.0.3, 3.0.4, 3.1.2, 3.1.3
Automatic model selection for structural time series decomposition into trend, cycle, and seasonal components, plus optionality for structural interpolation, using the Kalman filter. Koopman, Siem Jan and Marius Ooms (2012) "Forecasting Economic Time Series Using Unobserved Components Time Series Models" <doi:10.1093/oxfordhb/9780195398649.013.0006>. Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" <doi:10.7551/mitpress/6444.001.0001><http://econ.korea.ac.kr/~cjkim/>.
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