| mbsts-package {mbsts} | R Documentation |
Multivariate Bayesian Structural Time Series
Description
Tools for data analysis with multivariate Bayesian structural time series (MBSTS) models. Specifically, the package provides facilities for implementing general structural time series models, flexibly adding on different time series components (trend, season, cycle, and regression), simulating them, fitting them to multivariate correlated time series data, conducting feature selection on the regression component.
Documentation
mbsts is described in Ning and Qiu (2021).
License
mbsts is provided under the LGPL-2.1 License.
Author(s)
Jinwen Qiu, Ning Ning
References
Qiu, Jammalamadaka and Ning (2018), Multivariate Bayesian Structural Time Series Model, Journal of Machine Learning Research 19.68: 1-33.
Jammalamadaka, Qiu and Ning (2019), Predicting a Stock Portfolio with the Multivariate Bayesian Structural Time Series Model: Do News or Emotions Matter?, International Journal of Artificial Intelligence, Vol. 17, Number 2.
Ning and Qiu (2021), The mbsts package: Multivariate Bayesian Structural Time Series Models in R.