Automatic Structural Time Series Models

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Documentation for package ‘autostsm’ version 3.1.0

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autostsm AutoSTSM
DGS5 5 Year Treasury Yield
GDP US GDP Seasonally Adjusted
NA000334Q US GDP Not Seasonally Adjusted
SP500 S&P 500
stsm_bdiag Build a block diagonal matrix from two matrices
stsm_build_dates Build the date sequence as a Date type
stsm_check_exo Data check for input exo
stsm_check_exo_fc Data check for input exo.fc
stsm_check_y Data check for input y
stsm_constraints Set the inequality constraints for estimation
stsm_coxstuart Cox-Stuart Test
stsm_dates_to_interpolate Create dates to interpolate
stsm_detect_anomalies Detect Anomalies
stsm_detect_breaks Detect Structural Breaks
stsm_detect_cycle Detect cycle from the data
stsm_detect_frequency Detect frequency and dates from the data
stsm_detect_multiplicative Detect if log transformation is best
stsm_detect_seasonality Detect seasonality from the data
stsm_detect_trend Detect trend type
stsm_estimate Trend cycle seasonal decomposition using the Kalman filter.
stsm_filter Kalman Filter
stsm_fixed_pars Fixed parameter setting
stsm_forecast Kalman Filter and Forecast
stsm_format_exo Format exo
stsm_init_pars Get initial parameter estimates for estimation
stsm_na_kalman Missing Value Imputation by Kalman Smoothing and State Space Models
stsm_prior Return a naive model prior decomposition
stsm_ssm State space model
UNRATE Unemployment Rate Seasonally Adjusted
UNRATENSA Unemployment Rate Not Seasonally Adjusted