# 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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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?
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 ...
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 ...
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 ...