\HeaderA{StructTS}{Fit Structural Time Series}{StructTS}
\aliasA{predict.StructTS}{StructTS}{predict.StructTS}
\aliasA{print.StructTS}{StructTS}{print.StructTS}
\keyword{ts}{StructTS}
\begin{Description}\relax
Fit a structural model for a time series by maximum likelihood.
\end{Description}
\begin{Usage}
\begin{verbatim}
StructTS(x, type = c("level", "trend", "BSM"), init = NULL,
         fixed = NULL, optim.control = NULL)
\end{verbatim}
\end{Usage}
\begin{Arguments}
\begin{ldescription}
\item[\code{x}] a univariate numeric time series. Missing values are allowed.
\item[\code{type}] the class of structural model.  If omitted, a BSM is used
for a time series with \code{frequency(x) > 1}, and a local trend
model otherwise.
\item[\code{init}] initial values of the variance parameters.
\item[\code{fixed}] optional numeric vector of the same length as the total
number of parameters.  If supplied, only \code{NA} entries in
\code{fixed} will be varied.  Probably most useful for setting
variances to zero.
\item[\code{optim.control}] List of control parameters for
\code{\LinkA{optim}{optim}}.  Method \code{"L-BFGS-B"} is used.
\end{ldescription}
\end{Arguments}
\begin{Details}\relax
\emph{Structural time series} models are (linear Gaussian) state-space
models for (univariate) time series based on a decomposition of the
series into a number of components. They are specified by a set of
error variances, some of which may be zero.

The simplest model is the \emph{local level} model specified by
\code{type = "level"}.  This has an underlying level \eqn{\mu_t}{} which
evolves by
\deqn{\mu_{t+1} = \mu_t + \xi_t,  \qquad \xi_t \sim N(0, \sigma^2_\xi)}{}
The observations are
\deqn{x_t = \mu_t + \epsilon_t, \qquad \epsilon_t \sim  N(0, \sigma^2_\epsilon)}{}
There are two parameters, \eqn{\sigma^2_\xi}{}
and \eqn{\sigma^2_\epsilon}{}.  It is an ARIMA(0,1,1) model,
but with restrictions on the parameter set.

The \emph{local linear trend model}, \code{type = "trend"}, has the same
measurement equation, but with a time-varying slope in the dynamics for
\eqn{\mu_t}{}, given by
\deqn{
\mu_{t+1} = \mu_t + \nu_t + \xi_t, \qquad  \xi_t \sim N(0, \sigma^2_\xi)
}{}
\deqn{
\nu_{t+1} = \nu_t + \zeta_t, \qquad \zeta_t \sim N(0, \sigma^2_\zeta)
}{}
with three variance parameters.  It is not uncommon to find
\eqn{\sigma^2_\zeta = 0}{} (which reduces to the local
level model) or \eqn{\sigma^2_\xi = 0}{}, which ensures a
smooth trend.  This is a restricted ARIMA(0,2,2) model.

The \emph{basic structural model}, \code{type = "BSM"}, is a local
trend model with an additional seasonal component. Thus the measurement
equation is
\deqn{x_t = \mu_t + \gamma_t + \epsilon_t, \qquad \epsilon_t \sim  N(0, \sigma^2_\epsilon)}{}
where \eqn{\gamma_t}{} is a seasonal component with dynamics
\deqn{
\gamma_{t+1} = -\gamma_t + \cdots + \gamma_{t-s+2} + \omega_t, \qquad
\omega_t \sim N(0, \sigma^2_\omega)
}{}
The boundary case \eqn{\sigma^2_\omega = 0}{} corresponds
to a deterministic (but arbitrary) seasonal pattern.  (This is
sometimes known as the \sQuote{dummy variable} version of the BSM.)
\end{Details}
\begin{Value}
A list of class \code{"StructTS"} with components:

\begin{ldescription}
\item[\code{coef}] the estimated variances of the components.
\item[\code{loglik}] the maximized log-likelihood.  Note that as all these
models are non-stationary this includes a diffuse prior for some
observations and hence is not comparable with \code{\LinkA{arima}{arima}}
nor different types of structural models.
\item[\code{data}] the time series \code{x}.
\item[\code{residuals}] the standardized residuals.
\item[\code{fitted}] a multiple time series with one component for the level,
slope and seasonal components, estimated contemporaneously (that is
at time \eqn{t}{} and not at the end of the series).
\item[\code{call}] the matched call.
\item[\code{series}] the name of the series \code{x}.
\item[\code{code}] the \code{convergence} code returned by \code{\LinkA{optim}{optim}}.
\item[\code{model, model0}] Lists representing the Kalman Filter used in the
fitting.  See \code{\LinkA{KalmanLike}{KalmanLike}}.  \code{model0} is the
initial state of the filter, \code{model} its final state.
\item[\code{xtsp}] the \code{tsp} attributes of \code{x}.
\end{ldescription}
\end{Value}
\begin{Note}\relax
Optimization of structural models is a lot harder than many of the
references admit. For example, the \code{\LinkA{AirPassengers}{AirPassengers}} data
are considered in Brockwell \& Davis (1996): their solution appears to
be a local maximum, but nowhere near as good a fit as that produced by
\code{StructTS}.  It is quite common to find fits with one or more
variances zero, and this can include \eqn{\sigma^2_\epsilon}{}.
\end{Note}
\begin{References}\relax
Brockwell, P. J. \& Davis, R. A. (1996).
\emph{Introduction to Time Series and Forecasting}.
Springer, New York.
Sections 8.2 and 8.5.

Durbin, J. and Koopman, S. J. (2001) \emph{Time Series Analysis by
State Space Methods.}  Oxford University Press.

Harvey, A. C. (1989)
\emph{Forecasting, Structural Time Series Models and the Kalman Filter}.
Cambridge University Press.

Harvey, A. C. (1993) \emph{Time Series Models}.
2nd Edition, Harvester Wheatsheaf.
\end{References}
\begin{SeeAlso}\relax
\code{\LinkA{KalmanLike}{KalmanLike}}, \code{\LinkA{tsSmooth}{tsSmooth}};
\code{\LinkA{stl}{stl}} for different kind of (seasonal) decomposition.
\end{SeeAlso}
\begin{Examples}
\begin{ExampleCode}
## see also JohnsonJohnson, Nile and AirPassengers
require(graphics)

trees <- window(treering, start=0)
(fit <- StructTS(trees, type = "level"))
plot(trees)
lines(fitted(fit), col = "green")
tsdiag(fit)

(fit <- StructTS(log10(UKgas), type = "BSM"))
par(mfrow = c(4, 1))
plot(log10(UKgas))
plot(cbind(fitted(fit), resids=resid(fit)), main = "UK gas consumption")

## keep some parameters fixed; trace optimizer:
StructTS(log10(UKgas), type = "BSM", fixed = c(0.1,0.001,NA,NA),
         optim.control = list(trace=TRUE))
\end{ExampleCode}
\end{Examples}

