autostsm: stsm_constraints – R documentation

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stsm_constraints

Set the inequality constraints for estimation

Inequality constraints: ineqA

stsm_constraints(
  prior,
  par,
  freq,
  unconstrained,
  det_trend,
  det_drift,
  det_cycle,
  det_seas,
  det_obs,
  saturating_growth
)

`prior`	A data table created by stsm_prior
`par`	parameter values for the state space model
`freq`	Frequency of the data
`unconstrained`	Whether to remove inequality constraints on the trend during estimation
`det_trend`	Set the trend error variance to 0 (deterministic trend)
`det_drift`	Set the drift error variance to 0 (deterministic drift)
`det_cycle`	Set the cycle error variance to 0 (deterministic cycle)
`det_seas`	Set the seasonality error variances to 0 (deterministic seasonality)
`det_obs`	Set the observation equation error variance to 0 (deterministic observation equation)
`saturating_growth`	Force the growth rate to converge to 0 in the long term

list containing the initial values for the Kalman filter

Automatic Structural Time Series Models

v1.3

GPL (>= 2)

Authors

Alex Hubbard

Initial release

2021-05-01