R: Fit Structural Time Series

StructTS {stats}

R Documentation

Fit Structural Time Series

Description

Fit a structural model for a time series by maximum likelihood.

Usage

StructTS(x, type = c("level", "trend", "BSM"), init = NULL,
         fixed = NULL, optim.control = NULL)

Arguments

`x`	a univariate numeric time series. Missing values are allowed.
`type`	the class of structural model. If omitted, a BSM is used for a time series with `frequency(x) > 1`, and a local trend model otherwise.
`init`	initial values of the variance parameters.
`fixed`	optional numeric vector of the same length as the total number of parameters. If supplied, only `NA` entries in `fixed` will be varied. Probably most useful for setting variances to zero.
`optim.control`	List of control parameters for `optim`. Method `"L-BFGS-B"` is used.

Details

Structural time series models are (linear Gaussian) state-space models for (univariate) time series based on a decomposition of the series into a number of components. They are specified by a set of error variances, some of which may be zero.

The simplest model is the local level model specified by type = "level". This has an underlying level m[t] which evolves by

m[t+1] = m[t] + xi[t], xi[t] ~ N(0, σ^2_ξ)

The observations are

x[t] = m[t] + eps[t], eps[t] ~ N(0, σ^2_\eps)

There are two parameters, σ^2_ξ and σ^2_eps. It is an ARIMA(0,1,1) model, but with restrictions on the parameter set.

The local linear trend model, type = "trend", has the same measurement equation, but with a time-varying slope in the dynamics for m[t], given by

m[t+1] = m[t] + n[t] + xi[t], xi[t] ~ N(0, σ^2_ξ)

n[t+1] = n[t] + ζ[t], ζ[t] ~ N(0, σ^2_ζ)

with three variance parameters. It is not uncommon to find σ^2_ζ = 0 (which reduces to the local level model) or σ^2_ξ = 0, which ensures a smooth trend. This is a restricted ARIMA(0,2,2) model.

The basic structural model, type = "BSM", is a local trend model with an additional seasonal component. Thus the measurement equation is

x[t] = m[t] + s[t] + eps[t], eps[t] ~ N(0, σ^2_eps)

where s[t] is a seasonal component with dynamics

s[t+1] = -s[t] - … - s[t - s + 2] + w[t], w[t] ~ N(0, σ^2_w)

The boundary case σ^2_w = 0 corresponds to a deterministic (but arbitrary) seasonal pattern. (This is sometimes known as the ‘dummy variable’ version of the BSM.)

Value

A list of class "StructTS" with components:

`coef`	the estimated variances of the components.
`loglik`	the maximized log-likelihood. Note that as all these models are non-stationary this includes a diffuse prior for some observations and hence is not comparable with `arima` nor different types of structural models.
`data`	the time series `x`.
`residuals`	the standardized residuals.
`fitted`	a multiple time series with one component for the level, slope and seasonal components, estimated contemporaneously (that is at time t and not at the end of the series).
`call`	the matched call.
`series`	the name of the series `x`.
`code`	the `convergence` code returned by `optim`.
`model, model0`	Lists representing the Kalman Filter used in the fitting. See `KalmanLike`. `model0` is the initial state of the filter, `model` its final state.
`xtsp`	the `tsp` attributes of `x`.

Note

Optimization of structural models is a lot harder than many of the references admit. For example, the AirPassengers data are considered in Brockwell & Davis (1996): their solution appears to be a local maximum, but nowhere near as good a fit as that produced by StructTS. It is quite common to find fits with one or more variances zero, and this can include sigma^2_eps.

References

Brockwell, P. J. & Davis, R. A. (1996). Introduction to Time Series and Forecasting. Springer, New York. Sections 8.2 and 8.5.

Durbin, J. and Koopman, S. J. (2001) Time Series Analysis by State Space Methods. Oxford University Press.

Harvey, A. C. (1989) Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press.

Harvey, A. C. (1993) Time Series Models. 2nd Edition, Harvester Wheatsheaf.

Examples

## see also JohnsonJohnson, Nile and AirPassengers
require(graphics)

trees <- window(treering, start=0)
(fit <- StructTS(trees, type = "level"))
plot(trees)
lines(fitted(fit), col = "green")
tsdiag(fit)

(fit <- StructTS(log10(UKgas), type = "BSM"))
par(mfrow = c(4, 1))
plot(log10(UKgas))
plot(cbind(fitted(fit), resids=resid(fit)), main = "UK gas consumption")

## keep some parameters fixed; trace optimizer:
StructTS(log10(UKgas), type = "BSM", fixed = c(0.1,0.001,NA,NA),
         optim.control = list(trace=TRUE))

[Package stats version 2.15.1 Index]