• forecast

  • Referenced in 83 articles [sw04505]
  • analysing univariate time series forecasts including exponential smoothing via state space models and automatic ARIMA...
  • Forecast

  • Referenced in 60 articles [sw07972]
  • analysing univariate time series forecasts including exponential smoothing via state space models and automatic ARIMA...
  • dlm

  • Referenced in 26 articles [sw04503]
  • Normal linear State Space models, also known as Dynamic Linear Models. This book gives ... state space models, the Kalman filter for estimation and forecasting in dynamic linear models with ... many specific dynamic linear models particularly suited for time series analysis, both for univariate ... dynamic linear models. State space models, dynamic linear models, state estimation and forecasting, filtering...
  • STAMP

  • Referenced in 41 articles [sw09536]
  • time series. Estimation and signal extraction is carried out using state space methods and Kalman ... which enables the user to concentrate on model selection and interpretation. STAMP ... full name of STAMP is Structural Time Series Analyser, Modeller and Predictor. Structural time series...
  • StFinMetrics

  • Referenced in 29 articles [sw29976]
  • GARCH); time series regression modelling and systems of regression equations; state space models; factor models...
  • pomp

  • Referenced in 33 articles [sw10664]
  • dynamical systems, state-space models). ’pomp’ provides facilities for implementing POMP models, simulating them ... fitting them to time series data by a variety of frequentist and Bayesian methods...
  • E4

  • Referenced in 12 articles [sw17878]
  • MATLAB Toolbox for time series modeling. Its name, E4, refers to the Spanish: Estimación ... Estados, meaning ”State-Space Estimation of Econometric Models.” E4 uses state-space methods to achieve ... state-space, it provides interface functions to support many standard time series models, such ... Sotoca, A. Alexandre Trindade: ”State-Space Methods for Time Series Analysis: Theory, Applications and Software...
  • ITSM2000

  • Referenced in 5 articles [sw16941]
  • logic and tools of time series model-building are developed in detail. Numerous exercises ... used in conjunction with other time series packages such as those included ... ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral ... edition: – A chapter devoted to Financial Time Series – Introductions to Brownian motion, Lévy processes...
  • SSM

  • Referenced in 3 articles [sw24401]
  • MATLAB. State Space Models (SSM) is a MATLAB toolbox for time series analysis by state ... features fully interactive construction and combination of models, with support for univariate and multivariate ... models, complex time-varying (dy- namic) models, non-Gaussian models, and various standard models such ... ARIMA and structural time-series models. The software includes standard functions for Kalman fil- tering...
  • STATESPACE

  • Referenced in 1 article [sw12091]
  • uses the state space model to analyze and forecast multivariate time series. The STATESPACE procedure ... appropriate for jointly forecasting several related time series that have dynamic interactions. By taking into ... automatically selects a state space model appropriate for the time series, making the procedure ... multivariate time series. Alternatively, you can specify the state space model by giving the form...
  • dse

  • Referenced in 4 articles [sw24866]
  • linear, time-invariant, time series models. This includes ARMA and state-space representations, and methods...
  • gmwm

  • Referenced in 1 article [sw21249]
  • comprehensive tool for time series analysis from state-space models to robustness. The gmwm ... from a wavelet decomposition of a time series. This quantity provides a means to summarize ... features of time series in order to identify possible models. Moreover, it is used ... time series models as well as a quick and efficient estimation of many linear state...
  • StateSpaceModels

  • Referenced in 1 article [sw29995]
  • Julia Package for Time-Series Analysis in a State-Space Framework. StateSpaceModels.jl is an open ... package for modeling, forecasting and simulating time series in a state-space framework. The package ... range of applications that deal with time series. In addition, it contains features that ... possibility of setting any user-defined linear model...
  • PySSM

  • Referenced in 1 article [sw24400]
  • Bayesian Inference of Linear Gaussian State Space Models. PySSM is a Python package that ... analysis of time series using linear Gaussian state space models. PySSM is easy...
  • glarma

  • Referenced in 4 articles [sw23274]
  • autoregressive moving average (GLARMA) models for discrete valued time series with regression variables. These ... observation driven non-linear non-Gaussian state space models. The state vector consists...
  • MARSS

  • Referenced in 2 articles [sw23275]
  • linear multivariate autoregressive state-space (MARSS) models fit to multivariate time-series data. Fitting...
  • Mkfm6

  • Referenced in 1 article [sw16967]
  • stationary Gaussian time series, where the replications may obey different state space models. It uses...
  • SiGN-SSM

  • Referenced in 1 article [sw21443]
  • state space model (SSM), that is a statistical dynamic model suitable for analyzing short time ... and/or replicated time series gene expression profiles. SiGN-SSM implements a novel parameter constraint effective...
  • dlmodeler

  • Referenced in 1 article [sw23279]
  • state-space modelling, fitting, analysis and forecasting of Generalized Dynamic Linear Models (DLMs). It includes ... build classical seasonal time-series models (monthly, quarterly, yearly, etc. with calendar adjustments) and provides ... unified interface compatible with other state-space packages including: dlm, FKF and KFAS...
  • timedelay

  • Referenced in 0 articles [sw17892]
  • model is based on a state-space representation for irregularly observed time series data generated ... Gibbs sampler, producing posterior samples of the model parameters that include the time delay...