Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
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:: 42358. Submitted: 2010-01-26. Published: 2011-05-12.
Paper: State Space Models in R     Download PDF (Downloads: 66728)
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v41i04.R: R example code from the paper Download (Downloads: 2569; 7KB)
P.txt: Example data in ASCII format Download (Downloads: 2257; 8KB)
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.