stsm_ssm {autostsm} R Documentation

## State space model

### Description

Creates a state space model in list form yt = H*B + B^O X^O_t + e_t B = F*B_t-1 + B^S X^S_t + u_t

### Usage

stsm_ssm(
par = NULL,
yt = NULL,
decomp = NULL,
trend = NULL,
init = NULL,
model = NULL,
prior = NULL,
freq = NULL,
seasons = NULL,
cycle = NULL,
interpolate = NULL,
interpolate_method = NULL
)


### Arguments

 par Vector of named parameter values, includes the harmonics yt Univariate time series of data values decomp Decomposition model ("tend-cycle-seasonal", "trend-seasonal", "trend-cycle", "trend-noise") trend Trend specification ("random-walk", "random-walk-drift", "double-random-walk", "random-walk2"). The default is NULL which will choose the best of all specifications based on the maximum likelihood. "random-walk" is the random walk trend. "random-walk-drift" is the random walk with constant drift trend. "double-random-walk" is the random walk with random walk drift trend. "random-walk2" is a 2nd order random walk trend as in the Hodrick-Prescott filter. init Initial state values for the Kalman filter model a stsm_estimate model object prior Model prior built from stsm_prior. Only needed if prior needs to be built for initial values freq Frequency of the data. Only needed if prior needs to be built for initial values and prior = NULL seasons Numeric vector of seasonal frequencies. Only needed if prior needs to be built for initial values and prior = NULL cycle Numeric value for the cycle frequency. Only needed if prior needs to be built for initial values and prior = NULL interpolate Character string of how to interpolate interpolate_method Character string for the method of interpolation

### Value

List of space space matrices

### Examples

## Not run:
library(autostsm)
data("NA000334Q", package = "autostsm") #From FRED
NA000334Q = data.table(NA000334Q, keep.rownames = TRUE)
colnames(NA000334Q) = c("date", "y")
NA000334Q[, "date" := as.Date(date)]
NA000334Q[, "y" := as.numeric(y)]
NA000334Q = NA000334Q[date >= "1990-01-01", ]
stsm = stsm_estimate(NA000334Q)
ssm = stsm_ssm(model = stsm)

## End(Not run)


[Package autostsm version 3.0.3 Index]