R package mbsts: Multivariate Bayesian Structural Time Series. Tools for data analysis with multivariate Bayesian structural time series (MBSTS) models. Specifically, the package provides facilities for implementing general structural time series models, flexibly adding on different time series components (trend, season, cycle, and regression), simulating them, fitting them to multivariate correlated time series data, conducting feature selection on the regression component.

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  1. Ning Ning, Jinwen Qiu: The mbsts package: Multivariate Bayesian Structural Time Series Models in R (2021) arXiv