Automatic model selection for structural time series decomposition into trend, cycle, and seasonal components using the Kalman filter.
Koopman, Siem Jan and Marius Ooms (2012) "Forecasting Economic Time Series Using Unobserved Components Time Series Models" <doi:10.1093/oxfordhb/9780195398649.013.0006>.
Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" <doi:10.7551/mitpress/6444.001.0001><http://econ.korea.ac.kr/~cjkim/>.

Automatic Structural Time Series Models

package-ubuntu-20.04-r-4.0.5#cran#autostsm-1.3

<p>data.table with columns DATE and GDP, quarterly frequency
</p>

package-ubuntu-20.04-r-4.0.5#cran#autostsm-1.3#docs#GDP

GDP

Description

Usage

Format

Source

autostsm

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