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autostsm  

Automatic Structural Time Series Models
View on CRAN: Click here


Download and install autostsm package within the R console
Install from CRAN:
install.packages("autostsm")

Install from Github:
library("remotes")
install_github("cran/autostsm")

Install by package version:
library("remotes")
install_version("autostsm", "3.1.5")



Attach the package and use:
library("autostsm")
Maintained by
Alex Hubbard
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-01-15
Latest Update: 2024-06-05
Description:
Automatic model selection for structural time series decomposition into trend, cycle, and seasonal components, plus optionality for structural interpolation, using the Kalman filter. Koopman, Siem Jan and Marius Ooms (2012) "Forecasting Economic Time Series Using Unobserved Components Time Series Models" . Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" .
How to cite:
Alex Hubbard (2021). autostsm: Automatic Structural Time Series Models. R package version 3.1.5, https://cran.r-project.org/web/packages/autostsm. Accessed 09 Mar. 2026.
Previous versions and publish date:
1.0 (2021-01-15 11:00), 1.1 (2021-01-20 00:50), 1.2.1 (2021-03-02 00:10), 1.2.2 (2021-04-07 10:40), 1.2 (2021-02-05 11:10), 1.3 (2021-05-04 18:40), 1.4 (2021-06-09 10:10), 1.5 (2021-07-06 23:50), 1.6 (2021-08-12 16:40), 2.0 (2021-11-08 08:50), 2.1.1 (2022-01-07 13:12), 2.1 (2021-12-02 09:50), 3.0.0 (2022-02-01 09:00), 3.0.1 (2022-06-08 08:40), 3.0.2 (2022-09-02 09:20), 3.0.3 (2022-09-23 12:10), 3.0.4 (2023-02-23 19:12), 3.1.0 (2023-03-05 07:20), 3.1.2 (2023-09-25 23:50), 3.1.3 (2024-02-09 01:30), 3.1.4 (2024-03-08 08:50)
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Complete documentation for autostsm
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