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bsts (version 0.9.8)

Bayesian Structural Time Series

Description

Time series regression using dynamic linear models fit using MCMC. See Scott and Varian (2014) , among many other sources.

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Version

Install

install.packages('bsts')

Monthly Downloads

8,335

Version

0.9.8

License

LGPL-2.1 | MIT + file LICENSE

Maintainer

Steven Scott

Last Published

May 30th, 2022

Functions in bsts (0.9.8)

StateSpecification

Add a state component to a Bayesian structural time series model
add.monthly.annual.cycle

Monthly Annual Cycle State Component
add.dynamic.regression

Dynamic Regression State Component
add.local.level

Local level trend state component
add.ar

AR(p) state component
add.random.walk.holiday

Random Walk Holiday State Model
HarveyCumulator

HarveyCumulator
SuggestBurn

Suggested burn-in size
MATCH.NumericTimestamps

Match Numeric Timestamps
add.local.linear.trend

Local linear trend state component
add.student.local.linear.trend

Robust local linear trend
bsts

Bayesian Structural Time Series
diagnostic-plots

Diagnostic Plots
descriptive-plots

Descriptive Plots
gdp

Gross Domestic Product for 57 Countries
auto.ar

Sparse AR(p)
date.range

Date Range
add.shared.local.level

Local level trend state component
dirm-model-optoins

Specify Options for a Dynamic Intercept Regression Model
add.semilocal.linear.trend

Semilocal Linear Trend
add.seasonal

Seasonal State Component
aggregate.time.series

Aggregate a fine time series to a coarse summary
add.trig

Trigonometric Seasonal State Component
dirm

Dynamic intercept regression model
aggregate.weeks.to.months

Aggregate a weekly time series to monthly
extend.time

Extends a vector of dates to a given length
max.window.width

Maximum Window Width for a Holiday
estimate.time.scale

Intervals between dates
format.timestamps

Checking for Regularity
mixed.frequency

Models for mixed frequency time series
geometric.sequence

Create a Geometric Sequence
mbsts

Multivariate Bayesian Structural Time Series
month.distance

Elapsed time in months
shark

Shark Attacks in Florida.
rsxfs

Retail sales, excluding food services
predict.bsts

Prediction for Bayesian Structural Time Series
plot.bsts.mixed

Plotting functions for mixed frequency Bayesian structural time series
bsts.options.Rd

Bsts Model Options
get.fraction

Compute membership fractions
compare.bsts.models

Compare bsts models
plot.bsts.prediction

Plot predictions from Bayesian structural time series
turkish

Turkish Electricity Usage
add.static.intercept

Static Intercept State Component
plot.bsts.predictors

Plot the most likely predictors
last.day.in.month

Find the last day in a month
goog

Google stock price
match.week.to.month

Find the month containing a week
plot.holiday

Plot Holiday Effects
plot.bsts

Plotting functions for Bayesian structural time series
week.ends

Check to see if a week contains the end of a month or quarter
quarter

Find the quarter in which a date occurs
regression.holiday

Regression Based Holiday Models
plot.mbsts

Plotting Functions for Multivariate Bayesian Structural Time Series
spike.slab.ar.prior

Spike and Slab Priors for AR Processes
one.step.prediction.errors

Prediction Errors
predict.mbsts

Prediction for Multivariate Bayesian Structural Time Series
holiday

Specifying Holidays
plot.mbsts.prediction

Plot Multivariate Bsts Predictions
state.sizes

Compute state dimensions
weekday.names

Days of the Week
residuals.bsts

Residuals from a bsts Object
iclaims

Initial Claims Data
named.holidays

Holidays Recognized by Name
new.home.sales

New home sales and Google trends
regularize.timestamps

Produce a Regular Series of Time Stamps
shorten

Shorten long names
summary.bsts

Summarize a Bayesian structural time series object
to.posixt

Convert to POSIXt
simulate.fake.mixed.frequency.data

Simulate fake mixed frequency data
wide.to.long

Convert Between Wide and Long Format