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State Space Modeling Using SsfPack in S+FinMetrics 3.0 | Zivot | Journal of Statistical Software
Authors: Eric W. Zivot
Title: State Space Modeling Using SsfPack in S+FinMetrics 3.0
Abstract: This paper presents two illustrations of state space modeling in S-PLUS using the SsfPack 3.0 routines implemented in S+FinMetrics 3.0. The state space modeling functions in S+FinMetrics/SsfPack are extremely flexible and powerful and can be used for a wide variety of linear Gaussian state space models and for some non-linear and non-Gaussian state space models.

Page views:: 4751. Submitted: 2010-01-25. Published: 2011-05-12.
Paper: State Space Modeling Using SsfPack in S+FinMetrics 3.0     Download PDF (Downloads: 4863)
Supplements:
v41i05.ssc: S-PLUS example code from the paper Download (Downloads: 1123; 13KB)
v41i05-data.zip: Data (in CSV format) for the examples Download (Downloads: 1078; 6KB)

DOI: 10.18637/jss.v041.i05

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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.