dse: Dynamic Systems Estimation (Time Series Package)

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.

AuthorPaul Gilbert <pgilbert.ttv9z@ncf.ca>
Date of publication2015-12-10 20:40:39
MaintainerPaul Gilbert <pgilbert.ttv9z@ncf.ca>
LicenseGPL-2
Version2015.12-1
http://tsanalysis.r-forge.r-project.org/

View on R-Forge

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

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