Category Archives: R contributed package

Optimization algorithms to fit a structural time series model
The stsm R package

The package stsm provides some utilities to fit the basic structural time series model. As discussed here, there are several packages in R to work with the Kalman filter. Most of the packages mentioned there provide sound implementations of the … Continue reading

Posted in optimization, R, R contributed package, simulations, time series | Tagged , , , | Leave a comment

Detection of outliers in time series with R

This post is an abridged version of this document. Here, I will focus on the non-technical content and will reproduce some examples in order to introduce the purpose and usage of the tsoutliers package of R. Time series data often … Continue reading

Posted in outliers, R contributed package, time series | Tagged | Leave a comment