tsissm: Linear Innovations State Space Unobserved Components Model
Unobserved components time series model using the linear innovations state space representation (single source of error) with choice of error distributions and option for dynamic variance. Methods for estimation using automatic differentiation, automatic model selection and ensembling, prediction, filtering, simulation and backtesting. Based on the model described in Hyndman et al (2012) <doi:10.1198/jasa.2011.tm09771>.
| Version: | 1.0.1 |
| Depends: | R (≥ 4.1.0), Rcpp (≥ 0.12.9), tsmethods (≥ 1.0.0) |
| Imports: | TMB (≥ 1.7.20), methods, tsaux, tsdistributions, zoo, xts, copula, flextable, data.table, sandwich, nloptr, RTMB, viridisLite, future, future.apply, progressr |
| LinkingTo: | Rcpp (≥ 0.12.9), TMB, RcppEigen |
| Suggests: | rmarkdown, tstests, knitr, testthat (≥ 3.0.0) |
| Published: | 2025-04-28 |
| DOI: | 10.32614/CRAN.package.tsissm |
| Author: | Alexios Galanos 
[aut, cre] |
| Maintainer: | Alexios Galanos <alexios at 4dscape.com> |
| License: | GPL-2 |
| URL: | https://github.com/tsmodels/tsissm, https://www.nopredict.com/packages/tsissm |
| NeedsCompilation: | yes |
| Materials: | NEWS |
| In views: | TimeSeries |
| CRAN checks: | tsissm results |
Documentation:
| Reference manual: | tsissm.pdf |
| Vignettes: |
Automatic Selection and Ensembling (source, R code) Filtering and Prediction (source, R code) Regular Spacings and Seasonality (source, R code) Variance Dynamics (source, R code) The Innovations State Space Model (source, R code) |
Downloads:
| Package source: | tsissm_1.0.1.tar.gz |
| Windows binaries: | r-devel: tsissm_1.0.1.zip, r-release: tsissm_1.0.1.zip, r-oldrel: tsissm_1.0.1.zip |
| macOS binaries: | r-release (arm64): tsissm_1.0.1.tgz, r-oldrel (arm64): tsissm_1.0.1.tgz, r-release (x86_64): tsissm_1.0.1.tgz, r-oldrel (x86_64): tsissm_1.0.1.tgz |
Linking:
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