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Editors-in-chief: Bettina GrĂ¼n, Edzer Pebesma & Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
State Space Models in R | Petris | Journal of Statistical Software
Authors: Giovanni Petris, Sonia Petrone
Title: State Space Models in R
Abstract: We give an overview of some of the software tools available in R, either as built- in functions or contributed packages, for the analysis of state space models. Several illustrative examples are included, covering constant and time-varying models for both univariate and multivariate time series. Maximum likelihood and Bayesian methods to obtain parameter estimates are considered.

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DOI: 10.18637/jss.v041.i04

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.