StateSpecification function

Add a state component to a Bayesian structural time series model

Add a state component to the state.specification argument in a bsts model. 1.1

References

Harvey (1990), "Forecasting, structural time series, and the Kalman filter", Cambridge University Press.

Durbin and Koopman (2001), "Time series analysis by state space methods", Oxford University Press.

Author(s)

Steven L. Scott steve.the.bayesian@gmail.com

See Also

bsts. SdPrior

NormalPrior

Ar1CoefficientPrior

Examples

data(AirPassengers)
  y <- log(AirPassengers)
  ss <- AddLocalLinearTrend(list(), y)
  ss <- AddSeasonal(ss, y, nseasons = 12)
  model <- bsts(y, state.specification = ss, niter = 500)
  pred <- predict(model, horizon = 12, burn = 100)
  plot(pred)