tsPI
Improved Prediction Intervals for ARIMA Processes and Structural Time Series
Description
Prediction intervals for ARIMA and structural time series models using importance sampling approach with uninformative priors for model parameters, leading to more accurate coverage probabilities in frequentist sense. Instead of sampling the future observations and hidden states of the state space representation of the model, only model parameters are sampled, and the method is based solving the equations corresponding to the conditional coverage probability of the prediction intervals. This makes method relatively fast compared to for example MCMC methods, and standard errors of prediction limits can also be computed straightforwardly.
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CRAN Check Status
Show all 14 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (2 non-OK)
CRAN incoming feasibility
Maintainer: ‘Jouni Helske <jouni.helske@iki.fi>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Jouni",
family = "Helske",
role = c("aut", "cre"),
email = "jouni.helske@iki.fi")
as necessary.
CRAN incoming feasibility
Maintainer: ‘Jouni Helske <jouni.helske@iki.fi>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Jouni",
family = "Helske",
role = c("aut", "cre"),
email = "jouni.helske@iki.fi")
as necessary.
Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
CRAN incoming feasibility
Maintainer: ‘Jouni Helske <jouni.helske@iki.fi>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Jouni",
family = "Helske",
role = c("aut", "cre"),
email = "jouni.helske@iki.fi")
as necessary.
CRAN incoming feasibility
Maintainer: ‘Jouni Helske <jouni.helske@iki.fi>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Jouni",
family = "Helske",
role = c("aut", "cre"),
email = "jouni.helske@iki.fi")
as necessary.