SSpace: A flexible and general state space toolbox for Matlab. This chapter illustrates the utility of, and provides the basic documentation for, SSpace, a recently developed MATLAB toolbox for the analysis of State Space systems. The key strength of the toolbox is its generality and flexibility, both in terms of the particular state space form selected and the manner in which generic models are straightforwardly translated into MATLAB code. With the help of a relatively small number of functions, it is possible to fully exploit the power of state space systems, performing operations such as filtering, smoothing, forecasting, interpolation, signal extraction and likelihood estimation. The chapter provides an overview of SSpace and demonstrates its usage with several worked examples.

Keywords for this software

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