STSA - The Time Series Analysis Toolbox for O-Matrix. The STSA (Statistical Time Series Analysis) Toolbox is an extensive collection of O-Matrix functions for performing time series and statistics related analysis and visualization. The STSA toolbox provides capabilities for ARMA and ARFIMA, Bayesian, non-linear and spectral analysis related models. Extensive time series filtering functions and spectral analysis functions are provided. Numerous random number generators are included for both time series, and general statistical analysis. The STSA toolbox aids in the rapid solution of many time series problems, some of which cannot be easily dealt with using a canned program or are not directly available in most analysis software packages. For example, the NONLIN directory provides functions for model selection, estimation and forecasting for the class of functional coefficient autoregressive models: this is a state-of-the-art class of powerful and flexible non-parametric models that can be used in forecasting nonlinear time series. And, in the SPECTRAL directory the user can find functions for simulating, estimating and forecasting long-memory time series, a class of time series that is encountered in such diverse fields as hydrology and finance. The BAYES directory includes functions for Bayesian modeling and forecasting of time series that are not typically available in a commercial statistical package. The Bayesian techniques of this directory offer a greater degree of flexibility than traditional linear models and can handle a large number of forecasting tasks.

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  1. Torres, Germán A.: Algorithm 900: A discrete time Kalman filter package for large scale problems (2010)