R: Add a state component to a Bayesian structural time series...

StateSpecification {bsts} | R Documentation

## Add a state component to a Bayesian structural time series model

### Description

Add a state component to the `state.specification` argument in a `bsts` model.

### Author(s)

Steven L. Scott steve.the.bayesian@gmail.com

### References

Harvey (1990), "Forecasting, structural time series, and the Kalman filter", Cambridge University Press.

Durbin and Koopman (2001), "Time series analysis by state space methods", Oxford University Press.

### See Also

`bsts`. `SdPrior` `NormalPrior` `Ar1CoefficientPrior`

### Examples

      data(AirPassengers)
      y <- log(AirPassengers)
      ss <- AddLocalLinearTrend(list(), y)
      ss <- AddSeasonal(ss, y, nseasons = 12)
      model <- bsts(y, state.specification = ss, niter = 500)
      pred <- predict(model, horizon = 12, burn = 100)
      plot(pred)

[Package bsts version 0.9.6 Index]