Package: tsissm 1.0.3

Alexios Galanos

tsissm: 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, filtering, simulation and backtesting. Based on the model described in Hyndman et al (2012) <doi:10.1198/jasa.2011.tm09771>.

Authors:Alexios Galanos [aut, cre]

tsissm_1.0.3.tar.gz
tsissm_1.0.3.zip(r-4.7)tsissm_1.0.3.zip(r-4.6)tsissm_1.0.3.zip(r-4.5)
tsissm_1.0.3.tgz(r-4.6-x86_64)tsissm_1.0.3.tgz(r-4.6-arm64)tsissm_1.0.3.tgz(r-4.5-x86_64)tsissm_1.0.3.tgz(r-4.5-arm64)
tsissm_1.0.3.tar.gz(r-4.7-arm64)tsissm_1.0.3.tar.gz(r-4.7-x86_64)tsissm_1.0.3.tar.gz(r-4.6-arm64)tsissm_1.0.3.tar.gz(r-4.6-x86_64)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
tsissm/json (API)

# Install 'tsissm' in R:
install.packages('tsissm', repos = c('https://tsmodels.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/tsmodels/tsissm/issues

Uses libs:
  • c++– GNU Standard C++ Library v3
Datasets:

On CRAN:

Conda:

forecastingtime-seriescpp

5.65 score 3 stars 5 scripts 310 downloads 7 exports 140 dependencies

Last updated from:e6eb6a12f7. Checks:12 OK, 1 FAIL. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK325
linux-devel-x86_64OK333
source / vignettesOK480
linux-release-arm64OK312
linux-release-x86_64OK313
macos-release-arm64OK175
macos-release-x86_64OK872
macos-oldrel-arm64OK191
macos-oldrel-x86_64OK568
windows-develOK316
windows-releaseOK347
windows-oldrelOK284
wasm-releaseFAIL186

Exports:as_flextablebreadestfunhresidualsissm_controlissm_modelspectsissm_capabilities

Dependencies:abindADGofTestalabamaaskpassbackportsbase64encbootbroombslibcachemcarcarDatacliclustercodetoolscolorspacecopulacowplotcpp11data.tableDerivdigestDistributionUtilsdoBydplyrevaluatefarverfastmapflextablefontawesomefontBitstreamVerafontLiberationfontquiverforecastFormulafracdifffsfuturefuture.applygdtoolsGeneralizedHyperbolicgenericsggplot2globalsgluegslgtablehighrhtmltoolsisobandjquerylibjsonliteKernSmoothknitrlabelinglatticelifecyclelistenvlme4lmtestlubridatemagrittrMASSMatrixMatrixModelsmemoisemevmgcvmimeminqamodelrmvtnormnleqslvnlmenloptrnnetnumDerivofficeropensslparallellypbkrtestpcaPPpillarpkgconfigprogressrpsplinepurrrquantregR6raggrappdirsrbibutilsRColorBrewerRcppRcppArmadilloRcppEigenRdpackreformulasrlangrmarkdownRsolnpRTMBS7sandwichsassscalesscoringRulesSkewHyperbolicSparseMstablediststringistringrsurvivalsyssystemfontstextshapingtibbletidyrtidyselecttimechangetimeDatetinytexTMBtruncnormtsauxtsdistributionstsmethodstsoutliersurcautf8uuidvctrsviridisLitewithrxfunxml2xtsyamlzipzoo

Automatic Selection and Ensembling
Introduction | Advanced Retail Sales | Model Selection | Prediction and Ensembling | Conclusion
Rendered fromdemo_ensembling.Rmdusingknitr::rmarkdown

Last update: 2026-07-03
Started: 2025-04-14

The Innovations State Space Model
Rendered fromissm_introduction.Rmdusingknitr::rmarkdown

Last update: 2025-04-26
Started: 2025-04-14

Regular Spacings and Seasonality
Introduction | Data Investigation | Naive Approach (Irregular Time Base) | Correct Approach (Regular Time Base with Missing Values) | Re-estimating with Regularized Calendar Time | Evaluation | Conclusion
Rendered fromdemo_missing_data.Rmdusingknitr::rmarkdown

Last update: 2025-04-22
Started: 2025-04-14

Filtering and Prediction
Introduction | Demonstration | Estimation | Rolling Forecasts via Online Filtering | Filtering vs Forecasting at Horizon ( h = 1 ) | Visual Comparison | Conclusion
Rendered fromdemo_filtering.Rmdusingknitr::rmarkdown

Last update: 2025-04-14
Started: 2025-04-14

Variance Dynamics
Introduction | SPY Closing Price | Model Summary | Visuals | Conclusion | References
Rendered fromdemo_variance_dynamics.Rmdusingknitr::rmarkdown

Last update: 2025-04-14
Started: 2025-04-14

Readme and manuals

Help Manual

Help pageTopics
Akaike's An Information CriterionAIC AIC.tsissm.estimate AIC.tsissm.selection
Transform a summary object into flextableas_flextable.summary.tsissm.estimate
Bayesian Information CriterionBIC BIC.tsissm.estimate BIC.tsissm.selection
Bread Methodbread.tsissm.estimate
Extract Model Coefficientscoef coef.tsissm.estimate
Score Methodestfun.tsissm.estimate
Model Estimationestimate estimate.tsissm.autospec estimate.tsissm.spec
Model Fitted Valuesfitted fitted.tsissm.estimate
Multi-Step Ahead In-Sample Residualshresiduals hresiduals.tsissm.estimate
ISSM solver control parametersissm_control
Model Specificationissm_modelspec
Model Log-LikelihoodlogLik logLik.tsissm.estimate logLik.tsissm.selection
Mauna Loa CO2 Daily Measurementsmaunaloa
Extract the Number of Observationsnobs nobs.tsissm.estimate
Object Plotsplot plot.tsissm.estimate plot.tsissm.profile plot.tsissm.simulate
Model Predictionpredict predict.tsissm.estimate predict.tsissm.selection
Model Estimation Summary Print methodprint.summary.tsissm.estimate
Model Diagnostics Print methodprint.tsissm.diagnose
Model Residualsresiduals residuals.tsissm.estimate
The Standard Deviation of the modelsigma sigma.tsissm.estimate
Model Simulationsimulate simulate.tsissm.estimate simulate.tsissm.selection
SPY ETF Adjusted Closespy
Model Estimation Summarysummary summary.tsissm.estimate
Walk Forward Model Backtesttsbacktest tsbacktest.tsissm.autospec tsbacktest.tsissm.spec
Model Decompositiontsdecompose tsdecompose.tsissm.estimate tsdecompose.tsissm.predict tsdecompose.tsissm.simulate
Model Diagnosticstsdiagnose tsdiagnose.tsissm.estimate
Ensembling of Models and Predictionstsensemble tsensemble.tsissm.selection tsensemble.tsissm.selection_predict tsensemble.tsissm.selection_simulate
Model Equation (LaTeX)tsequation tsequation.tsissm.estimate
Online Model Filteringtsfilter tsfilter.tsissm.estimate tsfilter.tsissm.selection
Runtime Capabilitiestsissm_capabilities
Performance Metricstsmetrics tsmetrics.tsissm.estimate tsmetrics.tsissm.predict
Analytic Forecast Momentstsmoments tsmoments.tsissm.estimate
Model Simulation Based Profilingtsprofile tsprofile.tsissm.estimate
Model Specification Extractortsspec tsspec.tsissm.estimate
Advance Retail Sales: Retail Trade (US)us_retail_sales
The Covariance Matrix of the Estimated Parametersvcov vcov.tsissm.estimate