dse (2012.4-1)

Dynamic Systems Estimation (time series package).


Package dse provides tools for multivariate, linear, time-invariant, time series models. It 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 representaion 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.

Maintainer: Paul Gilbert and Erik Meijer
Author(s): Paul Gilbert <pgilbert.ttv9z@ncf.ca>

License: GPL-2

Uses: setRNG, tfplot, tframe
Reverse depends: dse1, EvalEst, tsfa
Reverse suggests: caschrono

Released over 5 years ago.