Automatic Structural Time Series Models

Automatic model selection for structural time series decomposition into trend, cycle, and seasonal components using the Kalman filter. See Koopman, Siem Jan and Marius Ooms (2012) "Forecasting Economic Time Series Using Unobserved Components Time Series Models .


Reference manual

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1.2 by Alex Hubbard, 20 days ago

Browse source code at

Authors: Alex Hubbard

Documentation:   PDF Manual  

GPL (>= 2) license

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

Depends on data.table

Suggests knitr, rmarkdown

Linking to Rcpp, RcppArmadillo

See at CRAN