bsts

R package bsts: Bayesian Structural Time Series. Time series regression using dynamic linear models fit using MCMC. See Scott and Varian (2014) <doi:10.1504/IJMMNO.2014.059942>, among many other sources.

Keywords for this software

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References in zbMATH (referenced in 3 articles )

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  1. Tucker S. McElroy, James A. Livsey: Ecce Signum: An R Package for Multivariate Signal Extraction and Time Series Analysis (2022) arXiv
  2. Ning Ning, Jinwen Qiu: The mbsts package: Multivariate Bayesian Structural Time Series Models in R (2021) arXiv
  3. Angela Bitto-Nemling, Annalisa Cadonna, Sylvia Frühwirth-Schnatter, Peter Knaus: Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP (2019) arXiv