SSsimple-package: Simple State Space Models

In SSsimple: State Space Models

Description

Simulate, solve (estimate), fit state space models

Details

Package:	SSsimple
Type:	Package
Version:	0.6.6
Date:	2019-12-06
License:	GPL (>= 2)
LazyLoad:	yes

If you wish to parameterize a state space model given only data, Z, use the function SS.ID. If you wish to simulate data, use SS.sim or SS.sim.tv. If you have data, know the model parameters, and wish to solve the lowest L2 estimate, use SS.solve or SS.solve.tv.

The two functions, H.omega.sincos and H.omega.cos.2D, provide a means of introducing response curvature over a domain (probably space) through the common sine bases expansion.

Finally, SS.stst and SS.stst.tv, attempt to find the time at which a system acheives a “steady-state.”

The system of interest is defined as

b(t) = F b(t-1) + n(t) , n(t) ~ N[0, Q]

z'(t) = H b(t) + e(t) , e(t) ~ N[0, R]

Functions whose names end in “.tv” provide for the usage of time-varying F, H, Q, R.

Author(s)

Dave Zes

Maintainer: Dave Zes <[e-mail]>

SSsimple documentation built on Dec. 7, 2019, 9:06 a.m.