ssm {bayesforecast} | R Documentation |
A constructor for a Additive linear State space model.
Description
Constructor of the ets("Z","Z","Z")
object for Bayesian estimation in Stan.
Usage
ssm(ts,trend = FALSE,damped = FALSE,seasonal = FALSE,xreg = NULL,
period = 0,genT = FALSE,series.name = NULL)
Arguments
ts |
a numeric or ts object with the univariate time series. |
trend |
a boolean value to specify a trend local level model. By default
is |
damped |
a boolean value to specify a damped trend local level model. By default
is |
seasonal |
a boolean value to specify a seasonal local level model. By default
is |
xreg |
Optionally, a numerical matrix of external regressors, which must have the same number of rows as ts. It should not be a data frame. |
period |
an integer specifying the periodicity of the time series by default the value frequency(ts) is used. |
genT |
a boolean value to specify for a generalized t-student SSM model. |
series.name |
an optional string vector with the time series names. |
Details
The function returns a list with the data for running stan()
function of
rstan package.
By default the ssm()
function generates a local level model (or a ets("A","N","N") or
exponential smoothing model from the forecast package). If trend
is set TRUE
,
then a local trend ssm model is defined (a equivalent ets("A","A","N") or Holt model from the
forecast package). For damped trend models set damped
to TRUE
. If seasonal
is set to TRUE
a seasonal local level model is defined (a equivalent ets("A","N","A") model
from the forecast package). For a Holt-Winters method (ets("A","A","A")) set Trend
and
seasonal
to TRUE
.
When genT
option is TRUE
a t-student innovations ssm model (see Ardia (2010)) is generated
see Fonseca, et. al (2019) for more details.
The default priors used in a ssm( ) model are:
level ~ normal(0,0.5)
Trend ~ normal(0,0.5)
damped~ normal(0,0.5)
Seasonal ~ normal(0,0.5)
sigma0 ~ t-student(0,1,7)
level1 ~ normal(0,1)
trend1 ~ normal(0,1)
seasonal1 ~ normal(0,1)
dfv ~ gamma(2,0.1)
breg ~ t-student(0,2.5,6)
For changing the default prior use the function set_prior()
.
Value
The function returns a list with the data for running stan()
function of
rstan package.
Author(s)
Asael Alonzo Matamoros.
References
Fonseca, T. and Cequeira, V. and Migon, H. and Torres, C. (2019). The effects of
degrees of freedom estimation in the Asymmetric GARCH model with Student-t
Innovations. arXiv doi: arXiv: 1910.01398
.
See Also
Sarima
auto.arima
set_prior
garch
Examples
mod1 = ssm(ipc)
# Declaring a Holt model for the ipc data.
mod2 = ssm(ipc,trend = TRUE,damped = TRUE)
# Declaring an additive Holt-Winters model for the birth data
mod3 = ssm(birth,trend = TRUE,damped = TRUE,seasonal = TRUE)