Package: rjd3sts 2.4.1

Jean Palate

rjd3sts: State Space Framework and Structural Time Series with 'JDemetra+ 3.x'

R Interface to 'JDemetra+ 3.x' (<https://github.com/jdemetra>) time series analysis software. It offers access to several functions on state space models and structural time series.

Authors:Jean Palate [aut, cre], Tanguy Barthelemy [art]

rjd3sts_2.4.1.tar.gz
rjd3sts_2.4.1.zip(r-4.7)rjd3sts_2.4.1.zip(r-4.6)rjd3sts_2.4.1.zip(r-4.5)
rjd3sts_2.4.1.tgz(r-4.6-any)rjd3sts_2.4.1.tgz(r-4.5-any)
rjd3sts_2.4.1.tar.gz(r-4.7-any)rjd3sts_2.4.1.tar.gz(r-4.6-any)
rjd3sts_2.4.1.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
rjd3sts/json (API)

# Install 'rjd3sts' in R:

install.packages('rjd3sts', repos = c('https://rjdverse.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/rjdverse/rjd3sts/issues

Pkgdown/docs site:https://rjdverse.github.io

Uses libs:

openjdk– OpenJDK Java runtime, using Hotspot JIT

On CRAN:

openjdk

5.14 score 3 stars 33 scripts 101 exports 8 dependencies

Last updated from:570ab91145 (on v2.4.1). Checks:7 WARNING, 2 OK. Indexed: yes.

Target	Result	Time
linux-devel-x86_64	WARNING	135
source / vignettes	OK	202
linux-release-x86_64	WARNING	135
macos-release-arm64	WARNING	107
macos-oldrel-arm64	WARNING	137
windows-devel	WARNING	96
windows-release	WARNING	99
windows-oldrel	WARNING	101
wasm-release	OK	127

Exports:.airline .akf_likelihood .arima .arima2 .bsm2spec .bsm2ucm .circular_loading .ckms_likelihood .composite .cyclical_loading .dk_likelihood .loading .loading_composite .local_level .local_linear_trend .mssf .mssf_measurements .noise .proc_diffuselikelihood .r2jd_bsm .sarima .sarma .sarma2 .seasonal .ssf .ssf_as_time_invariant .ssf_B .ssf_P0 .ssf_S .ssf_smooth .ssf_T .ssf_V .ssf_Z .state_diffuse_dim .state_dim .state_of add add_equation aggregation ar ar2 arima arma block_d0 block_p0 block_t block_v bsm_model bsm_to_ucm components_pos cumul cycle equation estimate filtered_states filtered_states_stdev filtering_states filtering_states_stdev loading loading_cyclical loading_periodic loading_sum loadings locallevel locallineartrend ltd_airline model msae msae2 msae3 msignal noise parameters periodic reg reg_td sae sarima seasonal seasonalbreaks signal smoothed_components smoothed_components_stdev smoothed_states smoothed_states_stdev splines_daily splines_generic splines_regular ssf sts sts_forecast sts_outliers sts_raw tdairline_estimation var_ar var_loading var_locallevel var_locallineartrend var_noise var_reg var_seasonal

Dependencies:backports checkmate Rcpp rJava rjd3jars rjd3toolkit rjd3xjars RProtoBuf

BSM

Defining a Basic Structural Model with rjd3sts | Standard definition, noise in the state | Standard definition, noise in the measurement | components with fixed variances, aggregated with diffuse weights (noise in the state) | bsm with long term trend and cycle

Rendered frombsm.Rmdusingknitr::rmarkdown

Last update: 2025-04-10
Started: 2024-07-12

Modeling Nile riverflow

Rendered fromregcmp_4.Rmdusingknitr::rmarkdown

Last update: 2025-04-10
Started: 2025-04-10

Regular periodic cubic splines

Use of regular periodic cubic splines | Usual BSM with Harrison-Stevens seasonal component | BSM with full periodic splines seasonal component | BSM with partial periodic splines seasonal component

Rendered fromregsplines.Rmdusingknitr::rmarkdown

Last update: 2025-04-10
Started: 2024-07-12

Sructural Time Series using JDemetra+

Rendered fromsts.Rmdusingknitr::rmarkdown

Last update: 2025-04-10
Started: 2024-07-12

SUTSE models

Introduction

Rendered fromsutse.Rmdusingknitr::rmarkdown

Last update: 2025-04-10
Started: 2025-04-10

Time series with a sampling error component

Rendered fromregcmp_6.Rmdusingknitr::rmarkdown

Last update: 2025-04-10
Started: 2025-04-10

Time varying trading days

Introduction | Modelling | SARIMA + TDvar | Available results | BSM + TDvar

Rendered fromtdvar.Rmdusingknitr::rmarkdown

Last update: 2025-04-10
Started: 2024-07-12

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Creates the state space form of an airline model;	.airline
Computes the diffuse likelihood by means of the augmented Kalman filter.	.akf_likelihood
Creates an ARIMA state block (representation I)	.arima
Creates an ARIMA state block (representation II)	.arima2
Title	.bsm2spec
Title	.bsm2ucm
Title	.circular_loading
Title	.ckms_likelihood
Title	.composite
Title	.cyclical_loading
Computes the diffuse likelihood by means of the diffuse Kalman filter (Durbin-Koopman).	.dk_likelihood
Title	.loading
Creates a composite loading	.loading_composite
Creates a local level state block	.local_level
Creates a local linear trend state block.	.local_linear_trend
Title	.mssf
Title	.mssf_measurements
Creates a white noise.	.noise
Title	.proc_diffuselikelihood
Title	.r2jd_bsm
Creates an ARMA state block	.sarima
Creates an ARMA state block (representation I)	.sarma
Creates an ARMA state block (representation II)	.sarma2
Creates a seasonal component, corresponding to a multivariate random walk, with an aggregation constraint to 0 and various covariances for the innovations of the transition equation.	.seasonal
Title	.ssf
Transforms a time invariant state space form based on functions into a state space models represented by matrices.	.ssf_as_time_invariant
Title	.ssf_B
Title	.ssf_P0
Title	.ssf_S
Computes smoothed states by means of the augmented Kalman filter in the case of diffuse initialization	.ssf_smooth
Gets the transition matrix.	.ssf_T
Gets the covariance of the innovations in the transition equation.	.ssf_V
Gets the loading vector. It should have the same length as the corresponding state block.	.ssf_Z
Title	.state_diffuse_dim
Retrieves the dimension of a state block	.state_dim
Gets the state of the state space form	.state_of
Adds a state block or a measurement equation to a given state space model	add
Add a building block to the considered equation	add_equation
Title	aggregation
Autoregressive model	ar ar2
Autoregressive Integrated Moving Average (ARIMA) Model	arima
Autoregressive Moving Average (ARMA) Model	arma
Title	block_d0
Title	block_p0
Title	block_t
Title	block_v
Title	bsm_model
Title	bsm_to_ucm
Position of the components	components_pos
Title	cumul
Title	cycle
Create equation	equation
Estimate a SSF Model	estimate
Title	filtered_states
Title	filtered_states_stdev
Title	filtering_states
Title	filtering_states_stdev
Title	loading
Title	loading_cyclical
Title	loading_periodic
Title	loading_sum
Give all the loadings for a given variable	loadings
Local Level	locallevel
Local linear trend state block	locallineartrend
Title	ltd_airline
Create Composite Model	model
Modeling errors in surveys with overlapping panels	msae msae2 msae3
Title	msignal
Noise state block	noise
Get Parameters of SSF Model	parameters
Title	periodic
Title	print.JD3STS
Time Varying Regressors	reg
Title	reg_td
Title	sae
Title	sarima
Seasonal state block	seasonal
Title	seasonalbreaks
Title	signal
Retrieves the components of the model (univariate case) or the components corresponding to a given equation (multivariate case)	smoothed_components
Retrieves the standard deviations of the components of the model (univariate case) or of the components corresponding to a given equation (multivariate case)	smoothed_components_stdev
Title	smoothed_states
Standard deviations of the smoothed states	smoothed_states_stdev
Title	splines_daily
Title	splines_generic
Title	splines_regular
Title	ssf
Title	sts
Forecast with STS model	sts_forecast
Title	sts_outliers
Title	sts_raw
Title	tdairline_estimation
Title	var_ar
Title	var_loading
Title	var_locallevel
Title	var_locallineartrend
Title	var_noise
Time Varying Regressor	var_reg
Title	var_seasonal

Package: rjd3sts 2.4.1

rjd3sts: State Space Framework and Structural Time Series with 'JDemetra+ 3.x'

Citation

Development and contributors

Readme and manuals

Help Manual

Usage by other packages (reverse dependencies)