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I was working on Unobserved Components Model in R but found that the content in the help section of R is not very elaborate.Maybe it's not completely updated yet. The Nile dataset example online also does not get a lot into how the model works.

I want to know how UCM is different to ARIMA and other time series models. When do we opt for this model over the others ?

Could someone point me towards a source of documentation on this.

Richard Hardy
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Ashutosh Kumar
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  • You should spell out what UCM means, please! – kjetil b halvorsen Dec 12 '16 at 04:06
  • I had the same question and found this paper from Siem Jan Koopman and Marius Ooms: [Forecasting economic time series using unobserved components time series models](https://www2.gwu.edu/~forcpgm/SiemJanKoopman-final-2010UCForecasting.pdf) – timvink Mar 23 '18 at 08:31

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