Questions tagged [bsts]

Bayesian Structural Time-Series

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Why BSTS model gives very different forecasts depending on length of testing set?

When I run a BSTS model in R, I get a finished model from a data set, and when I use that model to predict, for example, like this: predict(model3,newdata=futuredata) -> pred_1 I get a set of ...
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2answers
76 views

Incorporating Prior Information Into Time Series Prediction

Suppose I have data on my child C's height measured every week. Presumably there is a positive trend, due to growth, and some noise due to measurement errors, and maybe even seasonality (winter boots ...
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29 views

Difference between dlm and bsts

I'm working on a project which asks me to analysis the Facebook's stock price, and I have to do it the Bayesian way. This assignment doesn't have a particular goal and we are free to decide the what ...
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0answers
25 views

Modelling dynamic price elasticity with bsts [closed]

I have approximately 2000 daily data which contains total daily sales and median price of sales for a particular product. I read the paper but the level of bayseian math is too high for me but from ...
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76 views

Multilevel dynamic linear models in R

I am interested in fitting a multilevel bayesian structural time series with a hierarchical structure of the dynamic regression coefficients. The reason I want to do this is is that I have a number of ...
3
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1answer
154 views

predict.bsts does not capture holiday information

EDIT (Tue12Mar): The bug fixes are on their way. See https://github.com/steve-the-bayesian/BOOM/issues/25 I've been working with bsts to model time-series and make forecasts, but have run into some ...
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1answer
169 views

Problems running bsts with a Poisson response

I'm attempting to run a bayesian time series analysis using the bsts package, but I'm getting bizarre forecasts when I set family to "poisson." My time series are counts and follow a Poisson ...
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0answers
345 views

Pro and cons between Bayesian structural time series (BSTS) vs difference-in-differences?

Google's paper markets BSTS's benefits over DID such that "In contrast to classical difference-in-differences schemes, state-space models make it possible to (i) infer the temporal evolution of ...
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2answers
869 views

How to improve forecast accuray of bsts model

I have a question about the use of the bsts package. In general my question is if my approach is feasible. Because my holdout MAPE is much worse than all the other ...
4
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0answers
339 views

BSTS forecasts not incorporating holiday effects [closed]

Using the R package "bsts", I am attempting to forecast daily data from 3 years of history. The model looks good, and the forecast looks good, other than the fact that it fails to account for the ...
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0answers
258 views

How to explain BSTS models to non stats person?

I am using BSTS for building time series models. I am using exogenous variables also. BSTS stands for Bayesian structural time ...
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1answer
301 views

Do I need stationary time series for Bayesian structural time series (BSTS)?

I'm trying to model with BSTS, with exogenous variables. It appears that my y-sequence is not stationary. Do I need to diff that to stationary? Or could BSTS handle that? P.S. I'm using R package ...
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1answer
383 views

CausalImpact with Custom BSTS Model

I'm wanting to use a custom bsts model within the CausalImpact package, and I understand that I need to use a control group in my data; however, I don't really understand where that control group fits ...
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1answer
220 views

Synthetic Control and Causal Analysis

I am creating a synthetic control variable in which I want to use in order to perform a causal impact analysis of our marketing campaign. The goal is to find a set of predictor time series that are ...
2
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1answer
301 views

Forecasting with BSTS and external predictors

Can I use bsts with external predictors such as promotions, holidays etc? How do I do it?
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1answer
693 views

How to interpret the coefficients in the BSTS package in R?

The documentation for BSTS says the following about coefficients If object contains a regression component then the output contains matrix with rows corresponding to coefficients, and columns ...
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1answer
232 views

Simulation based on BSTS model

currently I'm fitting different time series models and produce combined n-step-ahead forecasts. As finding prediction intervals (analytically) for combined forecasts is quite a hassle, I decided to ...
11
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1answer
2k views

Bayesian spike and slab versus penalized methods

I'm reading Steven Scott's slides about BSTS R package (You can find them here: slides). At some point, when talking about including many regressors in the structural time series model he introduces ...
15
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2answers
10k views

Predictions from BSTS model (in R) are failing completely

After reading this blog post about Bayesian structural time series models, I wanted to look at implementing this in the context of a problem I'd previously used ARIMA for. I have some data with some ...
6
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1answer
2k views

question about bayesian structural time series model

I am investigating the stability of results from a bayesian structural time series model using bsts package in R. The following code estimates a local linear trend model (using an example from the R ...