Merge branch 'master' into naive_models

Author: guilhermebodin

Project.toml

@@ -17,14 +17,14 @@ Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
 StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
 
 [compat]
-Distributions = "0.23, 0.24"
+Distributions = "0.16, 0.17, 0.18, 0.19, 0.20, 0.21, 0.22, 0.23, 0.24"
 MatrixEquations = "1"
-Optim = "0.20, 0.21, 0.22, 1.2"
+Optim = "0.17, 0.18, 0.19, 0.20, 0.21, 0.22, 1.2"
 OrderedCollections = "1"
 Polynomials = "1"
 RecipesBase = "1"
 ShiftedArrays = "1"
-StatsBase = "0.33"
+StatsBase = "0.27, 0.28, 0.29, 0.30, 0.31, 0.32, 0.33"
 julia = "1"
 
 [extras]

datasets/sunspot_year.csv

@@ -0,0 +1,290 @@
+year,value
+1700,5
+1701,11
+1702,16
+1703,23
+1704,36
+1705,58
+1706,29
+1707,20
+1708,10
+1709,8
+1710,3
+1711,0
+1712,0
+1713,2
+1714,11
+1715,27
+1716,47
+1717,63
+1718,60
+1719,39
+1720,28
+1721,26
+1722,22
+1723,11
+1724,21
+1725,40
+1726,78
+1727,122
+1728,103
+1729,73
+1730,47
+1731,35
+1732,11
+1733,5
+1734,16
+1735,34
+1736,70
+1737,81
+1738,111
+1739,101
+1740,73
+1741,40
+1742,20
+1743,16
+1744,5
+1745,11
+1746,22
+1747,40
+1748,60
+1749,80.9
+1750,83.4
+1751,47.7
+1752,47.8
+1753,30.7
+1754,12.2
+1755,9.6
+1756,10.2
+1757,32.4
+1758,47.6
+1759,54
+1760,62.9
+1761,85.9
+1762,61.2
+1763,45.1
+1764,36.4
+1765,20.9
+1766,11.4
+1767,37.8
+1768,69.8
+1769,106.1
+1770,100.8
+1771,81.6
+1772,66.5
+1773,34.8
+1774,30.6
+1775,7
+1776,19.8
+1777,92.5
+1778,154.4
+1779,125.9
+1780,84.8
+1781,68.1
+1782,38.5
+1783,22.8
+1784,10.2
+1785,24.1
+1786,82.9
+1787,132
+1788,130.9
+1789,118.1
+1790,89.9
+1791,66.6
+1792,60
+1793,46.9
+1794,41
+1795,21.3
+1796,16
+1797,6.4
+1798,4.1
+1799,6.8
+1800,14.5
+1801,34
+1802,45
+1803,43.1
+1804,47.5
+1805,42.2
+1806,28.1
+1807,10.1
+1808,8.1
+1809,2.5
+1810,0
+1811,1.4
+1812,5
+1813,12.2
+1814,13.9
+1815,35.4
+1816,45.8
+1817,41.1
+1818,30.1
+1819,23.9
+1820,15.6
+1821,6.6
+1822,4
+1823,1.8
+1824,8.5
+1825,16.6
+1826,36.3
+1827,49.6
+1828,64.2
+1829,67
+1830,70.9
+1831,47.8
+1832,27.5
+1833,8.5
+1834,13.2
+1835,56.9
+1836,121.5
+1837,138.3
+1838,103.2
+1839,85.7
+1840,64.6
+1841,36.7
+1842,24.2
+1843,10.7
+1844,15
+1845,40.1
+1846,61.5
+1847,98.5
+1848,124.7
+1849,96.3
+1850,66.6
+1851,64.5
+1852,54.1
+1853,39
+1854,20.6
+1855,6.7
+1856,4.3
+1857,22.7
+1858,54.8
+1859,93.8
+1860,95.8
+1861,77.2
+1862,59.1
+1863,44
+1864,47
+1865,30.5
+1866,16.3
+1867,7.3
+1868,37.6
+1869,74
+1870,139
+1871,111.2
+1872,101.6
+1873,66.2
+1874,44.7
+1875,17
+1876,11.3
+1877,12.4
+1878,3.4
+1879,6
+1880,32.3
+1881,54.3
+1882,59.7
+1883,63.7
+1884,63.5
+1885,52.2
+1886,25.4
+1887,13.1
+1888,6.8
+1889,6.3
+1890,7.1
+1891,35.6
+1892,73
+1893,85.1
+1894,78
+1895,64
+1896,41.8
+1897,26.2
+1898,26.7
+1899,12.1
+1900,9.5
+1901,2.7
+1902,5
+1903,24.4
+1904,42
+1905,63.5
+1906,53.8
+1907,62
+1908,48.5
+1909,43.9
+1910,18.6
+1911,5.7
+1912,3.6
+1913,1.4
+1914,9.6
+1915,47.4
+1916,57.1
+1917,103.9
+1918,80.6
+1919,63.6
+1920,37.6
+1921,26.1
+1922,14.2
+1923,5.8
+1924,16.7
+1925,44.3
+1926,63.9
+1927,69
+1928,77.8
+1929,64.9
+1930,35.7
+1931,21.2
+1932,11.1
+1933,5.7
+1934,8.7
+1935,36.1
+1936,79.7
+1937,114.4
+1938,109.6
+1939,88.8
+1940,67.8
+1941,47.5
+1942,30.6
+1943,16.3
+1944,9.6
+1945,33.2
+1946,92.6
+1947,151.6
+1948,136.3
+1949,134.7
+1950,83.9
+1951,69.4
+1952,31.5
+1953,13.9
+1954,4.4
+1955,38
+1956,141.7
+1957,190.2
+1958,184.8
+1959,159
+1960,112.3
+1961,53.9
+1962,37.5
+1963,27.9
+1964,10.2
+1965,15.1
+1966,47
+1967,93.8
+1968,105.9
+1969,105.5
+1970,104.5
+1971,66.6
+1972,68.9
+1973,38
+1974,34.5
+1975,15.5
+1976,12.6
+1977,27.5
+1978,92.5
+1979,155.4
+1980,154.7
+1981,140.5
+1982,115.9
+1983,66.6
+1984,45.9
+1985,17.9
+1986,13.4
+1987,29.2
+1988,100.2

docs/src/manual.md

@@ -46,7 +46,9 @@ The package provides a variaty of pre-defined models. If there is any model that
 UnobservedComponents
 ExponentialSmoothing
 SARIMA
+DAR
 BasicStructural
+BasicStructuralExplanatory
 LinearRegression
 LocalLevel
 LocalLevelCycle

src/StateSpaceModels.jl

@@ -41,12 +41,14 @@ include("models/locallevelcycle.jl")
 include("models/locallevelexplanatory.jl")
 include("models/locallineartrend.jl")
 include("models/basicstructural.jl")
+include("models/basicstructural_explanatory.jl")
 include("models/basicstructural_multivariate.jl")
 include("models/sarima.jl")
 include("models/linear_regression.jl")
 include("models/unobserved_components.jl")
 include("models/exponential_smoothing.jl")
 include("models/naive_models.jl")
+include("models/dar.jl")
 
 include("visualization/forecast.jl")
 include("visualization/components.jl")
@@ -56,6 +58,8 @@ include("visualization/diagnostics.jl")
 # Exported types and structs
 export BasicStructural
 export ExperimentalSeasonalNaive
+export BasicStructuralExplanatory
+export DAR
 export ExponentialSmoothing
 export LinearMultivariateTimeInvariant
 export LinearMultivariateTimeVariant

src/datasets.jl

@@ -97,4 +97,15 @@ Federal Reserve Bank of St Louis.
 # References
  * Hyndman, Rob J., Athanasopoulos, George. "Forecasting: Principles and Practice"
 """
-const US_CHANGE = joinpath(dirname(@__DIR__()), "datasets", "uschange.csv")
+const US_CHANGE = joinpath(dirname(@__DIR__()), "datasets", "uschange.csv")
+
+@doc raw"""
+    SUNSPOTS_YEAR
+
+Yearly numbers of sunspots from 1700 to 1988 (rounded to one digit).
+Federal Reserve Bank of St Louis.
+
+# References
+ * H. Tong (1996) Non-Linear Time Series. Clarendon Press, Oxford, p. 471.
+"""
+const SUNSPOTS_YEAR = joinpath(dirname(@__DIR__()), "datasets", "sunspot_year.csv")

src/kalman_filter_and_smoother.jl

@@ -181,9 +181,11 @@ function kalman_filter(model::StateSpaceModel; filter::KalmanFilter=default_filt
     assert_possible_to_filter(model)
     filter_output = FilterOutput(model)
     reset_filter!(filter)
-    free_unconstrained_values = get_free_unconstrained_values(model)
-    update_model_hyperparameters!(model, free_unconstrained_values)
-    update_filter_hyperparameters!(filter, model)
+    if has_hyperparameter(model)
+        free_unconstrained_values = get_free_unconstrained_values(model)
+        update_model_hyperparameters!(model, free_unconstrained_values)
+        update_filter_hyperparameters!(filter, model)
+    end
     return kalman_filter!(filter_output, model.system, filter)
 end