tfarima (version 0.3.2)

stsm: Structural Time Series models

Description

stsm creates an S3 object representing a time-invariant structural time series model.

Usage

stsm(y, b, C, fSv, s2v, s2u = 1, xreg = NULL, bc = FALSE, fit = TRUE, ...)

Arguments

y

an object of class ts.

b

vector of constants.

C

matrix of constants.

fSv

function to create the covariance matrix of v_t.

s2v

variances of the vector error v_t in the state equation.

s2u

variance of the error u_t in the observation equation.

xreg

matrix of regressors.

bc

logical. If TRUE logs are taken.

fit

logical. If TRUE, model is fitted.

...

other arguments.

Value

An object of class stsm.

Details

y_t = b'x_t + u_t (observation equation), x_t = Cx_t-1 + v_t (state equation).

References

Durbin, J. and Koopman, S.J. (2012) Time Series Analysis

Examples

# NOT RUN {
# Local level model
b <- 1
C <- as.matrix(1)
stsm1 <- stsm(Nile, b, C, s2v = c(lvl = 0.5), s2u = c(irr = 1))
stsm1
# }