dse: Dynamic Systems Estimation (Time Series Package)

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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.

Author
Paul Gilbert <pgilbert.ttv9z@ncf.ca>
Date of publication
2015-12-16 18:54:01
Maintainer
Paul Gilbert <pgilbert.ttv9z@ncf.ca>
License
GPL-2
Version
2015.12-1
URLs

View on CRAN

Man pages

00.dse.Intro
Dynamic Systems Estimation - Multivariate Time Series Package
acf
Calculate the acf for an object
addPlotRoots
Add Model Roots to a plot
ARMA
ARMA Model Constructor
balanceMittnik
Balance a state space model
bestTSestModel
Select Best Model
checkBalance
Check Balance of a TSmodel
checkBalanceMittnik
Check Balance of a TSmodel
checkConsistentDimensions
Check Consistent Dimensions
checkResiduals
Autocorrelations Diagnostics
coef.TSmodel
Extract or set Model Parameters
combine
Combine two objects.
combine.forecastCov
Combine 2 Forecast Cov Objects
combine.TSdata
Combine series from two TSdata objects.
DSEflags
Flags to Indicate Use of Compiled Code
dse-package
Dynamic Systems Estimation - Multivariate Time Series Package
DSEutilities
DSE Utilities
DSEversion
Print Version Information
eg1.DSE.data
Four Time Series used in Gilbert (1993)
egJofF.1dec93.data
Eleven Time Series used in Gilbert (1995)
estBlackBox
Estimate a TSmodel
estBlackBox1
Estimate a TSmodel
estBlackBox2
Estimate a TSmodel
estBlackBox3
Estimate a TSmodel
estBlackBox4
Estimate a TSmodel
estimateModels
Estimate Models
estimatorsHorizonForecastsWRTdata
Estimate models and forecast at given horizons
estMaxLik
Maximum Likelihood Estimation
estSSfromVARX
Estimate a state space TSmodel using VAR estimation
estSSMittnik
Estimate a State Space Model
estVARXar
Estimate a VAR TSmodel
estVARXls
Estimate a VAR TSmodel
estWtVariables
Weighted Estimation
excludeForecastCov
Filter Object to Remove Forecasts
extractforecastCov
Extract Forecast Covariance
featherForecasts
Multiple Horizon-Step Ahead Forecasts
fixConstants
Fix TSmodel Coefficients (Parameters) to Constants
fixF
Set SS Model F Matrix to Constants
forecast
Forecast Multiple Steps Ahead
forecastCov
Forecast covariance for different models
forecastCovCompiled
Forecast covariance for different models - internal
forecastCovEstimatorsWRTdata
Calculate Forecast Cov of Estimators WRT Data
forecastCovEstimatorsWRTtrue
Compare Forecasts Cov Relative to True Model Output
forecastCovReductionsWRTtrue
Forecast covariance for different models
forecastCovWRTtrue
Compare Forecasts to True Model Output
forecasts
Extract Forecasts
gmap
Basis Transformation of a Model.
horizonForecasts
Calculate forecasts at specified horizons
horizonForecastsCompiled
Calculate forecasts at specified horizons
informationTests
Tabulates selection criteria
informationTestsCalculations
Calculate selection criteria
inputData
TSdata Series
is.forecastCovEstimatorsWRTdata.subsets
Check Inheritance
l
Evaluate a TSmodel
l.ARMA
Evaluate an ARMA TSmodel
l.SS
Evaluate a state space TSmodel
makeTSnoise
Generate a random time series
markovParms
Markov Parameters
McMillanDegree
Calculate McMillan Degree
minForecastCov
Minimum Forecast Cov Models
minimumStartupLag
Starting Periods Required
MittnikReducedModels
Reduced Models via Mittnik SVD balancing
MittnikReduction
Balance and Reduce a Model
nseries.featherForecasts
Number of Series
nseriesInput
Number of Series in in Input or Output
nstates
State Dimension of a State Space Model
observability
Calculate Model Observability Matrix
outOfSample.forecastCovEstimatorsWRTdata
Calculate Out-of-Sample Forecasts
percentChange.TSdata
Calculate percent change
periodsInput
TSdata Periods
periods.TSdata
Specific Methods for tframed Data
permute
Permute
phasePlots
Calculate Phase Plots
plot.roots
Plot Model Roots
Polynomials
Polynomial Utilities
Portmanteau
Calculate Portmanteau statistic
print.forecastCov
Print Specific Methods
print.TSdata
Print Specific Methods
print.TSestModel
Display TSmodel Arrays
reachability
Calculate Model Reachability Matrix
residualStats
Calculate Residuals Statistics and Likelihood
residuals.TSestModel
Calculate the residuals for an object
Riccati
Riccati Equation
roots
Calculate Model Roots
roots.estimatedModels
Roots Specific Methods
scale.TSdata
Scale Methods for TS objects
selectForecastCov
Select Forecast Covariances Meeting Criteria
seriesNamesInput
TSdata Series Names
seriesNamesInput.forecast
TS Input and Output Specific Methods
seriesNames.TSdata
Series Names Specific Methods
setArrays
Set TSmodel Array Information
setTSmodelParameters
Set TSmodel Parameter Information
shockDecomposition
Shock Decomposition
simulate
Simulate a TSmodel
smoother
Evaluate a smoother with a TSmodel
SS
State Space Models
stability
Calculate Stability of a TSmodel
state
Extract State
stripMine
Select a Data Subset and Model
summary.forecastCov
Summary Specific Methods
summary.TSdata
Specific Methods for Summary
sumSqerror
Calculate sum of squared prediction errors
testEqual.ARMA
Specific Methods for Testing Equality
testEqual.forecast
Specific Methods for Testing Equality
tfplot.forecast
Specific Methods for tfplot
tfplot.forecastCov
Plots of Forecast Variance
tfplot.TSdata
Tfplot Specific Methods
tframed.TSdata
Specific Methods for tframed Data
toARMA
Convert to an ARMA Model
toSS
Convert to State Space Model
toSSChol
Convert to Non-Innovation State Space Model
toSSinnov
Convert to State Space Innovations Model
toSSOform
Convert to Oform
totalForecastCov
Sum covariance of forecasts across all series
TSdata
Construct TSdata time series object
TSdata.forecastCov
TS Extractor Specific Methods
TSdata.object
time series data object
TSestModel
Estimated Time Series Model
TSmodel
Time Series Models

Files in this package

dse
dse/inst
dse/inst/CITATION
dse/inst/otherdata
dse/inst/otherdata/1dec93.dat
dse/inst/otherdata/eg1.dat
dse/inst/doc
dse/inst/doc/Guide.Stex
dse/inst/doc/Guide.pdf
dse/exec
dse/exec/JofFVAR.s
dse/tests
dse/tests/smoother.R
dse/tests/trend.R
dse/tests/dse1tst01.R
dse/tests/dse1tst02.R
dse/tests/TSdataTests.R
dse/tests/dse1tst09.R
dse/tests/estMaxLikwithConstants.R
dse/tests/dse2tstgd1.R
dse/tests/dse2tst2.R
dse/tests/estMaxLik.R
dse/tests/dse1tst07.R
dse/tests/dse1tst08.R
dse/src
dse/src/Makevars
dse/src/dsefor.f
dse/NAMESPACE
dse/demo
dse/demo/est.black.box.R
dse/demo/SSandVAR.R
dse/demo/00Index
dse/demo/forecast.R
dse/demo/estimate.R
dse/demo/simulate.R
dse/demo/BOC.93.4.examples.R
dse/demo/JofF95.R
dse/NEWS
dse/data
dse/data/egJofF.1dec93.data.rda
dse/data/eg1.DSE.data.diff.rda
dse/data/eg1.DSE.data.rda
dse/R
dse/R/dse1.R
dse/R/Rfixes.R
dse/R/dse2.R
dse/vignettes
dse/vignettes/Guide.Stex
dse/MD5
dse/build
dse/build/vignette.rds
dse/DESCRIPTION
dse/man
dse/man/Riccati.Rd
dse/man/forecastCovWRTtrue.Rd
dse/man/periodsInput.Rd
dse/man/l.ARMA.Rd
dse/man/estSSMittnik.Rd
dse/man/checkBalance.Rd
dse/man/markovParms.Rd
dse/man/residualStats.Rd
dse/man/is.forecastCovEstimatorsWRTdata.subsets.Rd
dse/man/ARMA.Rd
dse/man/Portmanteau.Rd
dse/man/tfplot.forecastCov.Rd
dse/man/nseriesInput.Rd
dse/man/tframed.TSdata.Rd
dse/man/nseries.featherForecasts.Rd
dse/man/simulate.Rd
dse/man/combine.Rd
dse/man/forecastCovEstimatorsWRTdata.Rd
dse/man/scale.TSdata.Rd
dse/man/estWtVariables.Rd
dse/man/minimumStartupLag.Rd
dse/man/forecastCovCompiled.Rd
dse/man/shockDecomposition.Rd
dse/man/estBlackBox.Rd
dse/man/setTSmodelParameters.Rd
dse/man/estSSfromVARX.Rd
dse/man/toSS.Rd
dse/man/tfplot.TSdata.Rd
dse/man/horizonForecastsCompiled.Rd
dse/man/observability.Rd
dse/man/seriesNamesInput.forecast.Rd
dse/man/makeTSnoise.Rd
dse/man/reachability.Rd
dse/man/DSEflags.Rd
dse/man/l.SS.Rd
dse/man/summary.forecastCov.Rd
dse/man/toSSChol.Rd
dse/man/minForecastCov.Rd
dse/man/tfplot.forecast.Rd
dse/man/excludeForecastCov.Rd
dse/man/seriesNamesInput.Rd
dse/man/DSEutilities.Rd
dse/man/estVARXls.Rd
dse/man/TSdata.forecastCov.Rd
dse/man/totalForecastCov.Rd
dse/man/forecastCovEstimatorsWRTtrue.Rd
dse/man/combine.TSdata.Rd
dse/man/sumSqerror.Rd
dse/man/checkBalanceMittnik.Rd
dse/man/stripMine.Rd
dse/man/plot.roots.Rd
dse/man/phasePlots.Rd
dse/man/fixF.Rd
dse/man/outOfSample.forecastCovEstimatorsWRTdata.Rd
dse/man/dse-package.Rd
dse/man/gmap.Rd
dse/man/TSdata.object.Rd
dse/man/toARMA.Rd
dse/man/toSSOform.Rd
dse/man/Polynomials.Rd
dse/man/eg1.DSE.data.Rd
dse/man/setArrays.Rd
dse/man/TSmodel.Rd
dse/man/estimateModels.Rd
dse/man/horizonForecasts.Rd
dse/man/MittnikReducedModels.Rd
dse/man/McMillanDegree.Rd
dse/man/permute.Rd
dse/man/forecasts.Rd
dse/man/toSSinnov.Rd
dse/man/extractforecastCov.Rd
dse/man/state.Rd
dse/man/forecastCov.Rd
dse/man/estMaxLik.Rd
dse/man/estBlackBox1.Rd
dse/man/checkConsistentDimensions.Rd
dse/man/estBlackBox2.Rd
dse/man/TSestModel.Rd
dse/man/acf.Rd
dse/man/bestTSestModel.Rd
dse/man/residuals.TSestModel.Rd
dse/man/roots.estimatedModels.Rd
dse/man/informationTestsCalculations.Rd
dse/man/periods.TSdata.Rd
dse/man/coef.TSmodel.Rd
dse/man/balanceMittnik.Rd
dse/man/stability.Rd
dse/man/estBlackBox4.Rd
dse/man/print.TSdata.Rd
dse/man/seriesNames.TSdata.Rd
dse/man/print.TSestModel.Rd
dse/man/combine.forecastCov.Rd
dse/man/inputData.Rd
dse/man/forecast.Rd
dse/man/addPlotRoots.Rd
dse/man/SS.Rd
dse/man/estimatorsHorizonForecastsWRTdata.Rd
dse/man/smoother.Rd
dse/man/percentChange.TSdata.Rd
dse/man/print.forecastCov.Rd
dse/man/l.Rd
dse/man/informationTests.Rd
dse/man/roots.Rd
dse/man/MittnikReduction.Rd
dse/man/testEqual.ARMA.Rd
dse/man/estVARXar.Rd
dse/man/featherForecasts.Rd
dse/man/summary.TSdata.Rd
dse/man/TSdata.Rd
dse/man/fixConstants.Rd
dse/man/forecastCovReductionsWRTtrue.Rd
dse/man/checkResiduals.Rd
dse/man/testEqual.forecast.Rd
dse/man/nstates.Rd
dse/man/DSEversion.Rd
dse/man/egJofF.1dec93.data.Rd
dse/man/00.dse.Intro.Rd
dse/man/estBlackBox3.Rd
dse/man/selectForecastCov.Rd