| Authors: | Giovanni Petris, Sonia Petrone |
| Title: | [download] (16368)State Space Models in R |
| Reference: | Vol. 41, Issue 4, May 2011 Submitted 2010-01-26, Accepted 2010-11-10 |
| Type: | Article |
| 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. |
| Paper: | [download] (16368)State Space Models in R (application/pdf, 1.2 MB) |
| Supplements: | [download] (1166)v41i04.R: R example code from the paper (application/octet-stream, 7.6 KB) |
| [download] (1104)P.txt: Example data in ASCII format (text/plain, 8.2 KB) |
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| Resources: | BibTeX | OAI |
