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?
Sincerely,
Alexander Fretheim
On Mar 23, 2012, at 11:43 AM, 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? > > Sincerely, > > Alexander Fretheimhttp://www.jstatsoft.org/v41 -Roy ********************** "The contents of this message do not reflect any position of the U.S. Government or NOAA." ********************** Roy Mendelssohn Supervisory Operations Research Analyst NOAA/NMFS Environmental Research Division Southwest Fisheries Science Center 1352 Lighthouse Avenue Pacific Grove, CA 93950-2097 e-mail: Roy.Mendelssohn at noaa.gov (Note new e-mail address) voice: (831)-648-9029 fax: (831)-648-8440 www: http://www.pfeg.noaa.gov/ "Old age and treachery will overcome youth and skill." "From those who have been given much, much will be expected" "the arc of the moral universe is long, but it bends toward justice" -MLK Jr.
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, ripley at 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