rucm (0.6)

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Implementation of Unobserved Components Model (UCM).

http://cran.r-project.org/web/packages/rucm

Unobserved Components Models (introduced in Harvey, A. (1989), Forecasting, structural time series models and the Kalman filter, Cambridge New York: Cambridge University Press) decomposes a time series into components such as trend, seasonal, cycle, and the regression effects due to predictor series which captures the salient features of the series to predict its behavior.

Maintainer: Kaushik Roy Chowdhury
Author(s): Kaushik Roy Chowdhury

License: GPL (>= 2)

Uses: KFAS, knitr

Released almost 2 years ago.


2 previous versions

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