stsm: Structural Time Series Models

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Fit the basic structural time series model by maximum likelihood.

Author
Javier López-de-Lacalle <javlacalle@yahoo.es>
Date of publication
2016-10-23 22:58:17
Maintainer
Javier López-de-Lacalle <javlacalle@yahoo.es>
License
GPL-2
Version
1.9
URLs

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'

Files in this package

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