I have seen a couple of posts about this, but no solutions. The problem is
fitting the Basic Structural Model (BSM) to the AirPassengers time series using
StructTS. For this particular time series, if the length is reduced below 140
months, the BSM fits are bad.
The following illustrates the
There does seem to be something odd about StructTS, or perhaps the methodology.
Try:
> data(AirPassengers)
> ap <- log10(AirPassengers)-2
> (fit <- StructTS(ts(ap[1:138], freq=12), type="BSM"))
Call:
StructTS(x = ts(ap[1:138], freq = 12), type = "BSM")
Variances:
level slope
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