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tsissm  

Linear Innovations State Space Unobserved Components Model
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("tsissm", "1.0.2")



Attach the package and use:
library("tsissm")
Maintained by
Alexios Galanos
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-04-28
Latest Update: 2025-07-12
Description:
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>.
How to cite:
Alexios Galanos (2025). tsissm: Linear Innovations State Space Unobserved Components Model. R package version 1.0.2, https://cran.r-project.org/web/packages/tsissm. Accessed 08 Mar. 2026.
Previous versions and publish date:
1.0.1 (2025-04-28 20:30)
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Complete documentation for tsissm
Functions, R codes and Examples using the tsissm R package
Full tsissm package functions and examples
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