Automatic Structural Time Series Models

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Documentation for package ‘autostsm’ version 3.1.4

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

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