Description
Implementation of Unobserved Components Model (UCM).
Description
Unobserved Components Models (introduced in Harvey, A. (1989), Forecasting, structural time series models and the Kalman filter, Cambridge New York: Cambridge University Press) decomposes a time series into components such as trend, seasonal, cycle, and the regression effects due to predictor series which captures the salient features of the series to predict its behavior.
README.md
rucm
Implementation of Unobserved Components Models (UCM) in R
Description
Unobserved Components Models (introduced in Harvey, A. (1989), Forecasting, structural time series models and the Kalman filter, Cambridge New York: Cambridge University Press) decomposes a time series into components such as trend, seasonal, cycle, and the regression effects due to predictor series which captures the salient features of the series to predict its behavior.
Comments
- This repository is a working version of R package rucm.
- A stable version is available for download on CRAN. To download package
install.packages("rucm"). - Package vignette can be found here.
Work-in-progress
- Implement time-varying independent variable estimation.
- Update
predict.ucm()to use argumentnewdatafor causal forecasting.
Issues
Issues can be reported here.
Package News
rucm v0.4
Changes:
- Changes in S3 method of printing an UC model. Added p - values for estimates of predictor variables.
- Added a vignette "Unobserved Components Model in R".
- Submitted to CRAN on 2014-09-06.
rucm v0.3
- First submitted to CRAN on 2014-08-25.