Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
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.

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Paper: State Space Modeling Using SsfPack in S+FinMetrics 3.0     Download PDF (Downloads: 5391)
v41i05.ssc: S-PLUS example code from the paper Download (Downloads: 1241; 13KB) Data (in CSV format) for the examples Download (Downloads: 1129; 6KB)

DOI: 10.18637/jss.v041.i05

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) or a GPL-compatible license.