|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.|
Page views:: 39082. Submitted: 2010-01-26. Published: 2011-05-12.
State Space Models in R
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