## stsb2

`stsb2`

This is the homepage for structural time series, round 2. It implements a grammar defined over structural time series blocks. You can read more about the theory here.

This library is useful because it allows you to easily express interpretable yet
complex time series models by reasoning about them as collections of
semantically-meaningful objects, not individual temporally-linked sample nodes. The
following are all valid `stsb2`

models:

```
import stsb2.stsb as sts
...
# model 1
rw = sts.RandomWalk(t1=100,)
# model 2
loc = sts.MA1(t1=100,)
position = sts.RandomWalk(loc=loc)
# model 3
trend = sts.GlobalTrend(t1=100,)
seasonal = sts.GlobalTrend(t1=100,).cos()
noise = sts.AR1(t1=100,)
sgt = seasonal + trend + noise
# model 4
log_vol_1 = sts.RandomWalk(t1=100)
log_vol_2 = MA1(t1=t1,)
vol = sts.changepoint(log_vol_1, log_vol_2, frac=0.6).exp()
price = sts.RandomWalk(t1=t1, loc=0.0, scale=vol, ic=0.0).exp()
```

You can see more examples on the project Gitlab.

# Installation and license

`pip install stsb2`

If you just want the source code:

```
curl -O https://davidrushingdewhurst.com/stsb2/package/stsb2.tgz
```

or on the project Gitlab.

This code is released under GNU GPL 2. For inquiries about obtaining a proprietary license, you can contact me.

# Documentation:

Itâ€™s here.