dse-package {dse1} | R Documentation |
Functions for time series modeling, including multi-variate state-space and ARMA (VAR, ARIMA, ARIMAX) models.
A Brief User's Guide is distributed with the dse bundle in the directory ‘dse/dse1/inst/doc/dse-guide.pdf’. The package implements an R/S style object oriented approach to time series modeling. This means that different model and data representations can be implemented with fairly simple extensions to the package.
The package includes methods for simulating, estimating, and converting among different model representations. These are mainly in dse1. Package dse2 has methods for studying estimation techniques and for examining the forecasting properties of models. There are also functions for forecasting and for evaluating the performance of forecasting models, as well as functions for evaluating model estimation techniques.
Bundle: | dse |
Contains: | tframe dse1 dse2 |
Depends: | R, setRNG, tframe |
License: | free, see LICENSE file for details. |
URL: | http://www.bank-banque-canada.ca/pgilbert |
The main objects are:
The main general methods are:
The main estimation methods are:
The main diagnositic methods are:
The methods for producing and evaluating forecasts are:
The methods for evaluating estimation methods are:
The functions described in the Brief User's Guide and examples in the help pages should work fairly reliably (since they are tested regularly), however, the code is distributed on an “as-is” basis. This is a compromise which allows me to make the software available with minimum effort. This software is not a commercial product. It is the by-product of ongoing research. Error reports, constructive suggestions, and comments are welcomed.
library("dse1")
library("dse2")
Paul Gilbert <pgilbert@bank-banque-canada.ca>
Maintainer: Paul Gilbert <pgilbert@bank-banque-canada.ca>
Anderson, B. D. O. and Moore, J. B. (1979) Optimal Filtering. Prentice-Hall.
Gilbert, P. D. (1993) State space and ARMA models: An overview of the equivalence. Working paper 93-4, Bank of Canada. Available at www.bank-banque-canada.ca/pgilbert
Gilbert, P. D. (1995) Combining VAR Estimation and State Space Model Reduction for Simple Good Predictions. J. of Forecasting: Special Issue on VAR Modelling. 14:229–250.
Gilbert, P.D. (2000) A note on the computation of time series model roots. Applied Economics Letters, 7, 423–424
Jazwinski, A. H. (1970) Stochastic Processes and Filtering Theory. Academic Press.
TSdata
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TSmodel
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TSestModel.object