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Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
cts: An R Package for Continuous Time Autoregressive Models via Kalman Filter | Wang | Journal of Statistical Software
Authors: Zhu Wang
Title: cts: An R Package for Continuous Time Autoregressive Models via Kalman Filter
Abstract: We describe an R package cts for fitting a modified form of continuous time autoregressive model, which can be particularly useful with unequally sampled time series. The estimation is based on the application of the Kalman filter. The paper provides the methods and algorithms implemented in the package, including parameter estimation, spectral analysis, forecasting, model checking and Kalman smoothing. The package contains R functions which interface underlying Fortran routines. The package is applied to geophysical and medical data for illustration.

Page views:: 4886. Submitted: 2012-01-23. Published: 2013-04-21.
Paper: cts: An R Package for Continuous Time Autoregressive Models via Kalman Filter     Download PDF (Downloads: 5144)
Supplements:
cts_1.0-15.tar.gz: R source package Download (Downloads: 417; 520KB)
v53i05.R: R example code from the paper Download (Downloads: 480; 2KB)

DOI: 10.18637/jss.v053.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.