On 23/03/2012 18:43, Fretheim, Alexander H wrote:
To whomever it may concern,
I'm a young Industrial Engineer working on Senior Design at Georgia
Tech and have found the StructTS method to be excellent for the
training set for my forecasting project. There's only one problem: I
don't actually understand what a Structural Time Series IS. I've
looked up resources on it, and get that essentially you're dividing
the Time Series in to additive components dependent on time, but have
no idea how your method works or why. I've also looked at the
documentation, which is great from a programmers standpoint and gives
at least a basic format but without any idea as to how optimization
occurs. Would you be able to even just supply some C code (which I
could open in notebook, hopefully) showing how the method
works/optimizes/heuristically recommends and why?
This is what references are for. From ?StructTS:
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.
The last is the best place to start. R is *not* a statistics tutorial.
Beyond that, R is Open Source and you can read all the source code for
yourself.
Sincerely,
Alexander Fretheim
--
Brian D. Ripley, rip...@stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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