Linear Innovations State Space Unobserved Components Model


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Documentation for package ‘tsissm’ version 1.0.2

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AIC Akaike's An Information Criterion
AIC.tsissm.estimate Akaike's An Information Criterion
AIC.tsissm.selection Akaike's An Information Criterion
as_flextable.summary.tsissm.estimate Transform a summary object into flextable
BIC Bayesian Information Criterion
BIC.tsissm.estimate Bayesian Information Criterion
BIC.tsissm.selection Bayesian Information Criterion
bread.tsissm.estimate Bread Method
coef Extract Model Coefficients
coef.tsissm.estimate Extract Model Coefficients
estfun.tsissm.estimate Score Method
estimate Model Estimation
estimate.tsissm.autospec Model Estimation
estimate.tsissm.spec Model Estimation
fitted Model Fitted Values
fitted.tsissm.estimate Model Fitted Values
hresiduals Multi-Step Ahead In-Sample Residuals
hresiduals.tsissm.estimate Multi-Step Ahead In-Sample Residuals
issm_control ISSM solver control parameters
issm_modelspec Model Specification
logLik Model Log-Likelihood
logLik.tsissm.estimate Model Log-Likelihood
logLik.tsissm.selection Model Log-Likelihood
maunaloa Mauna Loa CO2 Daily Measurements
nobs Extract the Number of Observations
nobs.tsissm.estimate Extract the Number of Observations
plot Object Plots
plot.tsissm.estimate Object Plots
plot.tsissm.profile Object Plots
plot.tsissm.simulate Object Plots
predict Model Prediction
predict.tsissm.estimate Model Prediction
predict.tsissm.selection Model Prediction
print.summary.tsissm.estimate Model Estimation Summary Print method
print.tsissm.diagnose Model Diagnostics Print method
residuals Model Residuals
residuals.tsissm.estimate Model Residuals
sigma The Standard Deviation of the model
sigma.tsissm.estimate The Standard Deviation of the model
simulate Model Simulation
simulate.tsissm.estimate Model Simulation
simulate.tsissm.selection Model Simulation
spy SPY ETF Adjusted Close
summary Model Estimation Summary
summary.tsissm.estimate Model Estimation Summary
tsbacktest Walk Forward Model Backtest
tsbacktest.tsissm.autospec Walk Forward Model Backtest
tsbacktest.tsissm.spec Walk Forward Model Backtest
tsdecompose Model Decomposition
tsdecompose.tsissm.estimate Model Decomposition
tsdecompose.tsissm.predict Model Decomposition
tsdecompose.tsissm.simulate Model Decomposition
tsdiagnose Model Diagnostics
tsdiagnose.tsissm.estimate Model Diagnostics
tsensemble Ensembling of Models and Predictions
tsensemble.tsissm.selection Ensembling of Models and Predictions
tsensemble.tsissm.selection_predict Ensembling of Models and Predictions
tsensemble.tsissm.selection_simulate Ensembling of Models and Predictions
tsequation Model Equation (LaTeX)
tsequation.tsissm.estimate Model Equation (LaTeX)
tsfilter Online Model Filtering
tsfilter.tsissm.estimate Online Model Filtering
tsfilter.tsissm.selection Online Model Filtering
tsmetrics Performance Metrics
tsmetrics.tsissm.estimate Performance Metrics
tsmetrics.tsissm.predict Performance Metrics
tsmoments Analytic Forecast Moments
tsmoments.tsissm.estimate Analytic Forecast Moments
tsprofile Model Simulation Based Profiling
tsprofile.tsissm.estimate Model Simulation Based Profiling
tsspec Model Specification Extractor
tsspec.tsissm.estimate Model Specification Extractor
us_retail_sales Advance Retail Sales: Retail Trade (US)
vcov The Covariance Matrix of the Estimated Parameters
vcov.tsissm.estimate The Covariance Matrix of the Estimated Parameters