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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
Detection of outliers in time series with R
This post is an abridged version of this document. Here, I will focus on the nontechnical 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