Package: muse 0.1.0

muse: Multiple Unobserved Sources of Error State Space Models

Implements the Power / Trend / Seasonal (PTS) model, a unified state-space framework based on the Multiple Source of Error (MSOE) model. It brings the trend, seasonal and irregular component models of Harvey (1989) <doi:10.1017/CBO9781107049994>, Durbin and Koopman (2012) <doi:10.1093/acprof:oso/9780199641178.001.0001>, Proietti (2000) <doi:10.1016/S0169-2070(00)00037-6>, Sbrana and Silvestrini (2023) <doi:10.1016/j.ijforecast.2022.03.003> and others together under a single estimation, selection and forecasting interface, with an optional Box-Cox power transformation. Models are estimated by maximum likelihood through the Kalman filter and smoother, with automatic component selection by information criteria.

Authors:Diego J. Pedregal [aut, ctb], Ivan Svetunkov [aut, cre]