dse: Dynamic Systems Estimation (Time Series Package)
Version 2015.12-1

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.

Package details

AuthorPaul Gilbert <[email protected]>
Date of publication2015-12-16 18:54:01
MaintainerPaul Gilbert <[email protected]>
LicenseGPL-2
Version2015.12-1
URL http://tsanalysis.r-forge.r-project.org/
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("dse")

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dse documentation built on May 30, 2017, 3:57 a.m.