autostsm: Automatic Structural Time Series Models

Automatic model selection for structural time series decomposition into trend, cycle, and seasonal components, plus optionality for structural interpolation, using the Kalman filter. Koopman, Siem Jan and Marius Ooms (2012) "Forecasting Economic Time Series Using Unobserved Components Time Series Models" <doi:10.1093/oxfordhb/9780195398649.013.0006>. Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" <doi:10.7551/mitpress/6444.001.0001><>.

Version: 3.1.5
Depends: R (≥ 3.5.0)
Imports: maxLik (≥ 1.5-2), forecast (≥ 8.15), lubridate (≥ 1.7), ggplot2 (≥ 3.3), gridExtra (≥ 2.3), strucchange (≥ 1.5), foreach (≥ 1.5), doSNOW (≥ 1.0.19), parallel (≥ 4.1.1), lmtest (≥ 0.9-38), ggrepel (≥ 0.9), progress (≥ 1.2), sandwich (≥ 3.0), data.table (≥ 1.15), kalmanfilter (≥ 2.0.1)
Suggests: knitr, rmarkdown, testthat
Published: 2024-06-05
DOI: 10.32614/CRAN.package.autostsm
Author: Alex Hubbard [aut, cre]
Maintainer: Alex Hubbard <hubbard.alex at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Materials: README NEWS
In views: TimeSeries
CRAN checks: autostsm results


Reference manual: autostsm.pdf
Vignettes: Automatic Structural Time Series Model


Package source: autostsm_3.1.5.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): autostsm_3.1.5.tgz, r-oldrel (arm64): autostsm_3.1.5.tgz, r-release (x86_64): autostsm_3.1.5.tgz, r-oldrel (x86_64): autostsm_3.1.5.tgz
Old sources: autostsm archive


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