stsm: Structural Time Series Models

Fit the basic structural time series model by maximum likelihood.

Install the latest version of this package by entering the following in R:
install.packages("stsm")
AuthorJavier López-de-Lacalle <javlacalle@yahoo.es>
Date of publication2016-10-23 22:58:17
MaintainerJavier López-de-Lacalle <javlacalle@yahoo.es>
LicenseGPL-2
Version1.9
http://jalobe.com

View on CRAN

Man pages

barrier-eval: Barrier Term in the Likelihood Function

datagen-stsm: Generate Data from a Structural Time Series Model

force-defpos: Force Positive Definiteness of a Matrix

gdp4795: USA Real Gross Domestic Product

init-vars: Initial Parameter Values

line-search: Choice of the Step Size in the Scoring Algorithm

maxlik-em: Maximization of the Time Domain Likelihood Function via the...

maxlik-fd: Maximization of the Spectral Likelihood Function

maxlik-td: Maximization of the Time Domain Likelihood Function

method-logLik: Extract Log-Likelihood

methods-stsmFit: Methods to Extract Information from a Fitted 'stsm' Model...

methods-vcov-confint: Variance-covariance Matrix for a Fitted 'stsm' Model Object

mloglik-fd: Spectral Log-Likelihood Function and Derivatives

mloglik-td: Time Domain Log-Likelihood Function and Derivatives

sim-data: Simulated Data

stsm-class: Class 'stsm' for Structural Time Series Models

stsmFit: Interface to Different Fitting Procedures

stsm-methods-char2numeric: State Space Representation of Objects of Class 'stsm'

stsm-methods-get: Getter Methods for Class 'stsm'

stsm-methods-set: Setter Methods for Class 'stsm'

stsm-methods-transPars: Parameterization of Models Defined in the Class 'stsm'

stsm-model: Wrapper for Constructor of Objects of Class 'stsm'

stsm-package: Structural Time Series Models

stsm-sgf: Spectral Generating Function of Common Structural Time Series...

stsm-show-methods: Display an Object of Class 'stsm'

stsm-validObject: Check the Validity of an Object of Class 'stsm'

Functions

barrier.eval Man page
Brent.fmin Man page
char2numeric Man page
char2numeric,stsm-method Man page
check.bounds Man page
check.bounds,stsm-method Man page
coef.stsmFit Man page
confint.stsmFit Man page
datagen.stsm Man page
fitted.stsm Man page
fitted.stsmFit Man page
force.defpos Man page
gdp4795 Man page
get.cpar Man page
get.cpar,stsm-method Man page
get.nopars Man page
get.nopars,stsm-method Man page
get.pars Man page
get.pars,stsm-method Man page
init.vars Man page
KFconvar Man page
linesearch Man page
llmseas Man page
logLik Man page
logLik.stsm Man page
maxclik.fd.scoring Man page
maxlik.em Man page
maxlik.fd Man page
maxlik.fd.optim Man page
maxlik.fd.scoring Man page
maxlik.td Man page
maxlik.td.optim Man page
maxlik.td.scoring Man page
mcloglik.fd Man page
mcloglik.fd.deriv Man page
mcloglik.fd.grad Man page
method-logLik Man page
methods-stsmFit Man page
methods-vcov-confint Man page
mloglik.fd Man page
mloglik.fd.deriv Man page
mloglik.fd.grad Man page
mloglik.td Man page
mloglik.td.deriv Man page
mloglik.td.grad Man page
plot.stsmComponents Man page
plot.stsmPredict Man page
plot.stsmSmooth Man page
predict.stsm Man page
predict.stsmFit Man page
print.stsmFit Man page
residuals.stsmFit Man page
set.cpar Man page
set.cpar,stsm-method Man page
set.nopars Man page
set.nopars,stsm-method Man page
set.pars Man page
set.pars,stsm-method Man page
set.sgfc Man page
set.sgfc,stsm-method Man page
set.xreg Man page
set.xreg,stsm-method Man page
show Man page
show,stsm-method Man page
sim-data Man page
step.maxsize Man page
stsm Man page
stsm-class Man page
stsmFit Man page
stsm-get-methods Man page
stsm.model Man page
stsm-package Man page
stsm-set-methods Man page
stsm.sgf Man page
stsm-show-methods Man page
stsm-transPars-methods Man page
stsm-validObject-methods Man page
transPars Man page
transPars,generic-method Man page
transPars,numeric-method Man page
transPars,stsm-method Man page
tsdiag.stsmFit Man page
tsSmooth.stsm Man page
tsSmooth.stsmFit Man page
validObject Man page
validObject,stsm-method Man page
vcov.stsm Man page
vcov.stsmFit Man page

Files

inst
inst/doc
inst/doc/index.html
inst/doc/stsm-intro.Rnw
inst/doc/stsm-intro.R
inst/doc/stsm-intro.pdf
inst/sims
inst/sims/datagen-llm.R inst/sims/sim-llmseas-mcl-fd.R inst/sims/sim-llmseas-ml-td.R inst/sims/sim-llmseas-ml-fd.R inst/sims/test-derivatives-mloglik-fd.R inst/sims/sim-llm-ml-td.R inst/sims/sim-llm-mcl-fd.R inst/sims/sim-llm-ml-fd.R inst/sims/test-derivatives-mcloglik-fd.R inst/sims/datagen-llmseas.R
src
src/Makevars
src/KFKSDS-steady-v2.h
src/KFKSDS-steady-v2.cpp
src/KFKSDS-steady.h
src/KFKSDS-steady.cpp
NAMESPACE
NEWS
data
data/gdp4795.rda
data/datalist
data/llmseas.rda
R
R/maxlik-td-optim.R R/logLik.R R/datagen.R R/mcloglik-fd.R R/force-defpos.R R/EM.R R/maxlik-td-scoring.R R/maxlik-fd-optim.R R/methods-vcov-confint.R R/barrier.R R/init-vars.R R/mloglik-fd.R R/methods-stsmFit.R R/linesearch.R R/maxlik-fd-scoring.R R/stsmFit.R R/stsm-methods.R R/transPars.R R/stsm-class.R R/mloglik-td.R R/frequency-domain.R R/maxclik-fd-scoring.R
vignettes
vignettes/stsm-intro.Rnw
MD5
build
build/vignette.rds
DESCRIPTION
man
man/maxlik-em.Rd man/stsm-sgf.Rd man/stsm-show-methods.Rd man/sim-data.Rd man/force-defpos.Rd man/init-vars.Rd man/stsm-package.Rd man/stsm-class.Rd man/methods-stsmFit.Rd man/stsm-model.Rd man/stsm-methods-char2numeric.Rd man/mloglik-td.Rd man/datagen-stsm.Rd man/gdp4795.Rd man/stsm-methods-transPars.Rd man/stsmFit.Rd man/maxlik-fd.Rd man/barrier-eval.Rd man/stsm-methods-get.Rd man/line-search.Rd man/method-logLik.Rd man/maxlik-td.Rd man/methods-vcov-confint.Rd man/stsm-methods-set.Rd man/mloglik-fd.Rd man/stsm-validObject.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.