R package dse: Dynamic Systems Estimation (Time Series Package). Tools for multivariate, linear, time-invariant, time series models. This includes ARMA and state-space representations, and methods for converting between them. It also includes simulation methods and several estimation functions. The package has functions for looking at model roots, stability, and forecasts at different horizons. The ARMA model representation is general, so that VAR, VARX, ARIMA, ARMAX, ARIMAX can all be considered to be special cases. Kalman filter and smoother estimates can be obtained from the state space model, and state-space model reduction techniques are implemented. An introduction and User’s Guide is available in a vignette.
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References in zbMATH (referenced in 7 articles )
Showing results 1 to 7 of 7.
- Scutari, Marco; Denis, Jean-Baptiste: Bayesian networks. With examples in R (2022)
- Michaud, N., de Valpine, P., Turek, D., Paciorek, C. J., Nguyen, D.: Sequential Monte Carlo Methods in the nimble and nimbleSMC R Packages (2021) not zbMATH
- Binkowski, Karol; He, Peilun; Kordzakhia, Nino; Shevchenko, Pavel: On the parameter estimation in the Schwartz-Smith’s two-factor model (2019)
- Fernando Tusell: Kalman Filtering in R (2011) not zbMATH
- Giovanni Petris; Sonia Petrone: State Space Models in R (2011) not zbMATH
- Giovanni Petris: An R Package for Dynamic Linear Models (2010) not zbMATH
- Kleiber, Christian; Zeileis, Achim: Applied econometrics with R (2008)