tsissm

cranv1.0.2

Linear Innovations State Space Unobserved Components Model. 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, f

License GPL-2strong copyleft0 versions1 maintainers18 deps107 weekly dl
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First published · 2025-07-12 20:51:15

Last updated · 2025-07-12T19:20:02+00:00