# StructTS with 2 seasons Classic List Threaded 3 messages Open this post in threaded view
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## StructTS with 2 seasons

 Dear All, I am trying to fit a structural time series model using the StructTS function (package stats) with only 2 seasons (summer and winter). More than 2 seasons work fine but with 2 seasons I get this error: > fit <- StructTS(y.ts, type="BSM") Error in T[cbind(ind + 1L, ind)] <- 1 : subscript out of bounds I have looked at Prof. Ripley's 2002 RNews article but cannot see why theoretically it should not be possible to have only 2 seasons. I have also looked at the StructTS code, and the problem is with the transition matrix in makeBSM, but I am not sure whether I should overwrite this or whether my thinking is wrong. I attach code that simulates data for the basic structural model (with time-varying trend and season), the top line s determines the number of seasons in a year (3 and 4 work fine, 2 gives the above error), and at the end tries to fit the model. I am using R version 2.11.1, Windows XP. # ----- Basic structural model ----- s <- 2            # frequency or period mu0 <- 6 beta0 <- 1 it0 <- 0 it.states <- sample(1:6,s) mu <- numeric()              # mean beta <- numeric()           # slope it <- numeric()                # seasonal state mu <- mu0 + beta0 + rnorm(1,0,2) beta <- beta0 + rnorm(1,0,0.5) it <- - sum(it.states[2:s]) + rnorm(1,0,1) it.states <- c(it,it.states[2:s]) for (i in 2:30)  { mu[i] <- mu[i-1] + beta[i-1] + rnorm(1,0,2)    beta[i] <- beta[i-1] + rnorm(1,0,2)    it[i] <- - sum(it.states[1:(s-1)]) + rnorm(1,0,1)    it.states <- c(it[i],it.states[1:(s-1)])  } y <- numeric() for (i in 1:30)  { y[i] <- mu[i] + it[i] + rnorm(1,0,3) } par(mfrow=c(2,2)) plot(y,type="b") plot(mu) plot(beta) plot(it) y.ts <- ts(y,start=c(1977,1),frequency=s) y.ts fit <- StructTS(y.ts, type="BSM") fit # ------------------------------------------------------ Thank you. Birgit Erni Department of Statistical Sciences University of Cape Town, South Africa   ### UNIVERSITY OF CAPE TOWN This e-mail is subject to the UCT ICT policies and e-mai...{{dropped:13}} ______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide http://www.R-project.org/posting-guide.htmland provide commented, minimal, self-contained, reproducible code.