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Authors: Giovanni Petris, Sonia Petrone
Title: [download]
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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]
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State Space Models in R
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Supplements: [download]
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v41i04.R: R example code from the paper
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P.txt: Example data in ASCII format
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Creative Commons License
This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3)
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