Kalman Filter and Forecast
Kalman filter and forecast an estimated model from stsm_estimate output
stsm_forecast( model, y, n.ahead = 0, freq = NULL, exo = NULL, exo.fc = NULL, ci = 0.8, plot = FALSE, plot.decomp = FALSE, plot.fc = FALSE, n.hist = NULL, smooth = TRUE, dampen_cycle = FALSE )
model |
Structural time series model estimated using stsm_estimate. |
y |
Univariate time series of data values. May also be a 2 column data frame containing a date column. |
n.ahead |
the number of periods to forecast |
freq |
Frequency of the data (1 (yearly), 4 (quarterly), 12 (monthly), 365.25/7 (weekly), 365.25 (daily)), default is NULL and will be automatically detected |
exo |
Matrix of exogenous variables used for the historical data. Can be used to specify regression effects or other seasonal effects like holidays, etc. |
exo.fc |
Matrix of exogenous variables used for the forecast |
ci |
Confidence interval, value between 0 and 1 exclusive. |
plot, |
Logical, whether to plot everything |
plot.decomp |
Logical, whether to plot the filtered historical data |
plot.fc |
Logical, whether to plot the forecast |
n.hist |
Number of historical periods to include in the forecast plot. If plot = TRUE and n.hist = NULL, defaults to 3 years. |
smooth |
Whether or not to use the Kalman smoother |
dampen_cycle |
Whether to remove oscillating cycle dynamics and smooth the cycle forecast into the trend using a sigmoid function that maintains the rate of convergence |
data table (or list of data tables) containing the filtered and/or smoothed series.
## Not run:
#GDP Not seasonally adjusted
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)
fc = stsm_forecast(stsm, y = NA000334Q, n.ahead = floor(stsm$freq)*3, plot = TRUE)
## End(Not run)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.