stsm function

Structural Time Series models

stsm creates an S3 object representing a time-invariant structural time series model.

stsm(y, b, C, fSv, s2v, s2u = 1, xreg = NULL, bc = FALSE, fit = TRUE, ...)

Arguments

• y: an object of class ts.
• b: vector of constants.
• C: matrix of constants.
• fSv: function to create the covariance matrix of v_t.
• s2v: variances of the vector error v_t in the state equation.
• s2u: variance of the error u_t in the observation equation.
• xreg: matrix of regressors.
• bc: logical. If TRUE logs are taken.
• fit: logical. If TRUE, model is fitted.
• ...: other arguments.

Returns

An object of class stsm.

Details

y_t = b'x_t + u_t (observation equation), x_t = Cx_t-1 + v_t (state equation).

Examples

# Local level model
b <- 1
C <- as.matrix(1)
stsm1 <- stsm(Nile, b, C, s2v = c(lvl = 0.5), s2u = c(irr = 1))
stsm1

References

Durbin, J. and Koopman, S.J. (2012) Time Series Analysis