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Questions tagged [bsts]

Bayesian Structural Time-Series

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0answers
38 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
120 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 ...
1
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1answer
129 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 ...
3
votes
0answers
307 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 ...
0
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0answers
117 views

What are the assumptions of BSTS models and what diagnostics test, one should do on the BSTS model residuals?

My question is regarding BSTS (Bayesian Structural Time Series) model with exogenous variables. Suppose, I have trained a model on some data. The model is showing good fit into the training data i.e. ...
4
votes
2answers
634 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
281 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 ...
1
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0answers
227 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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0answers
46 views

Auto correlation in bsts model residuals

I am using bsts models to build time series models. I am observing that bsts models are fitting the data quite good. In sample ...
2
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1answer
267 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 ...
0
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1answer
357 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 ...
1
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1answer
197 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 ...
1
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1answer
268 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
611 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 ...
1
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1answer
207 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
1k 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 ...
14
votes
2answers
9k 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 ...