Automatic Structural Time Series Models

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" . Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" <>.


Reference manual

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1.3 by Alex Hubbard, 5 days ago

Browse source code at

Authors: Alex Hubbard

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Imports Matrix, maxLik, forecast, lubridate, tsutils, ggplot2, gridExtra, strucchange, imputeTS, foreach, doSNOW, parallel, zoo, lmtest, tseries, ggrepel, progress, sandwich

Depends on data.table

Suggests knitr, rmarkdown

Linking to Rcpp, RcppArmadillo

See at CRAN