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.
| Version: |
0.1.0 |
| Depends: |
R (≥ 3.0.2), greybox, smooth |
| Imports: |
Rcpp (≥ 0.12.3), generics (≥ 0.1.2), zoo |
| LinkingTo: |
Rcpp, RcppArmadillo (≥ 0.8.100.0.0) |
| Suggests: |
testthat (≥ 3.0.0), knitr, rmarkdown |
| Published: |
2026-06-30 |
| DOI: |
10.32614/CRAN.package.muse (may not be active yet) |
| Author: |
Diego J. Pedregal 
[aut, ctb],
Ivan Svetunkov
[aut, cre] (Senior Lecturer at Centre for Marketing Analytics and
Forecasting, Lancaster University, UK) |
| Maintainer: |
Ivan Svetunkov <ivan at svetunkov.com> |
| BugReports: |
https://github.com/config-i1/muse/issues |
| License: |
LGPL-2.1 |
| URL: |
https://github.com/config-i1/muse |
| NeedsCompilation: |
yes |
| Language: |
en-GB |
| Materials: |
README, NEWS |
| CRAN checks: |
muse results |
Documentation:
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