Time series data appear in a surprising number of applications, ranging from business, to the physical and social sciences, to health, medicine, and engineering. Forecasting (e.g. next month’s sales) is common in problems involving time series data, but explanatory models (e.g. finding drivers of sales) are also important. Time series data are having something of a moment in the tech blogs right now, with Facebook announcing their “Prophet” system for time series forecasting (Taylor and Letham 2017), and Google posting about its forecasting system in this blog (Tassone and Rohani 2017).
This post summarizes the bsts R package, a tool for fitting Bayesian structural time series models. These are a widely useful class of time series models, known in various literatures as “structural time series,” “state space models,” “Kalman filter models,” and “dynamic linear models,” among others. Though the models need not be fit using Bayesian methods, they have a Bayesian flavor and the bsts package was built to use Bayesian posterior sampling.
If you’re looking for time series models, this looks like a good one.