stsm: Structural Time Series Models

Fit the basic structural time series model by maximum likelihood.

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'

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

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