Multivariate Bayesian Structural Time Series
Multivariate Bayesian Structural Time Series
Specification of time series components
Constructor for the MBSTS model
Main function for the multivariate Bayesian structural time series (MB...
Regression parameter estimation by the MBSTS Model
Plot Posterior State Components
Plot for Convergence Diagnosis
Plot Inclusion Probabilities
Simulate data
Specification of time series components
Tools for data analysis with multivariate Bayesian structural time series (MBSTS) models. Specifically, the package provides facilities for implementing general structural time series models, flexibly adding on different time series components (trend, season, cycle, and regression), simulating them, fitting them to multivariate correlated time series data, conducting feature selection on the regression component.