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dse (version 2006.10-1)
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Install
install.packages('dse')
Monthly Downloads
142
Version
2006.10-1
License
Free. See the LICENCE file for details.
Maintainer
Paul Gilbert
Last Published
February 26th, 2020
Functions in dse (2006.10-1)
Search all functions
EstEval
Evaluate an estimation method
checkBalanceMittnik
Check Balance of a TSmodel
coef.TSmodel
Extract or set Model Parameters
coef.TSmodelEstEval
Specific Methods for coef
combine.TSdata
Combine series from two TSdata objects.
distribution
Plot distribution of estimates
dse-package
Dynamic Systems Estimation - Multivariate Time Series Package
estBlackBox2
Estimate a TSmodel
estSSMittnik
Estimate a State Space Model
estWtVariables
Weighted Estimation
extractforecastCov
Extract Forecast Covariance
excludeForecastCov
Filter Object to Remove Forecasts
featherForecasts
Multiple Horizon-Step Ahead Forecasts
forecastCovReductionsWRTtrue
Forecast covariance for different models
freeze
Get fixed data snapshot
horizonForecastsCompiled
Calculate forecasts at specified horizons
informationTestsCalculations
Calculate selection criteria
is.forecastCovEstimatorsWRTdata.subsets
Check Inheritance
informationTests
Tabulates selection criteria
nstates
State Dimension of a State Space Model
Riccati
Riccati Equation
00.dse.Intro
Dynamic Systems Estimation - Multivariate Time Series Package
TSdata.forecastCov
TS Extractor Specific Methods
TSmodel
Time Series Models
l
Evaluate a TSmodel
observability
Calculate Model Observability Matrix
print.TSestModel
Display TSmodel Arrays
TSestModel
Estimated Time Series Model
print.estimatedModels
Print Specific Methods
roots.estimatedModels
Roots Specific Methods
addDate
Add Periods to a Date
bestTSestModel
Select Best Model
seqN
Tframe Library Utilities
SS
State Space Models
distribution.MonteCarloSimulations
Generate distribution plots of Monte Carlo simulations
roots
Calculate Model Roots
earliestEnd
Start and End for Objects with Multiple Time Series
outOfSample.forecastCovEstimatorsWRTdata
Calculate Out-of-Sample Forecasts
shockDecomposition
Shock Decomposition
seriesNamesInput.forecast
TS Input and Output Specific Methods
eg1.DSE.data
Four Time Series used in Gilbert (1993)
estBlackBox3
Estimate a TSmodel
simulate
Simulate a TSmodel
estMaxLik
Maximum Likelihood Estimation
summary.TSdata
Specific Methods for Summary
estimateModels
Estimate Models
fixConstants
Fix TSmodel Coefficients (Parameters) to Constants
stripMine
Select a Data Subset and Model
testEqual.estimatedModels
Specific Methods for Testing Equality
testEqual.ARMA
Specific Methods for Testing Equality
estVARXls
Estimate a VAR TSmodel
Polynomials
Polynomial Utilities
tfExpand
Expand a Tframe or Tframed Object.
tfstart
Extract Time Frame Information
forecastCov
Forecast covariance for different models
estVARXar
Estimate a VAR TSmodel
inputData
TSdata Series
tfplot.forecastCov
Plots of Forecast Variance
toARMA
Convert to an ARMA Model
l.SS
Evaluate a state space TSmodel
nseriesInput
Number of Series in in Input or Output
permute
Permute
plot.mineStepwise
Plot Mine Stepwise Object
seriesNames.TSdata
Series Names Specific Methods
setArrays
Set TSmodel Array Information
splice
Splice Time Series
stability
Calculate Stability of a TSmodel
setTSmodelParameters
Set TSmodel Parameter Information
summary.estimatedModels
Summary Specific Methods
tfplot.TSdata.ee
Specific Methods for tfplot
tfplot.MonteCarloSimulations
Generate plots of Monte Carlo simulations
tfplot
Plot Tframed Objects
tfspan
Time Span
toSSChol
Convert to Non-Innovation State Space Model
tfwindow
Truncate a Time Series
tfplot.coefEstEval
Specific tfplot methods for coefEstEval (EstEval) objects
00tframe.Intro
Tframe - Generic Approach to Handling Time
DSEutilities
DSE Utilities
sumSqerror
Calculate sum of squared prediction errors
DSEversion
Print Version Information
MittnikReducedModels
Reduced Models via Mittnik SVD balancing
toSSinnov
Convert to State Space Innovations Model
MonteCarloSimulations
Generate simulations
TSdata.object
time series data object
MittnikReduction
Balance and Reduce a Model
addPlotRoots
Add Model Roots to a plot
estBlackBox
Estimate a TSmodel
combine
Combine two objects.
estSSfromVARX
Estimate a state space TSmodel using VAR estimation
estBlackBox4
Estimate a TSmodel
forecastCovCompiled
Forecast covariance for different models - internal
forecastCovEstimatorsWRTtrue
Compare Forecasts Cov Relative to True Model Output
forecastCovWRTtrue
Compare Forecasts to True Model Output
forecastCovEstimatorsWRTdata
Calculate Forecast Cov of Estimators WRT Data
genMineData
Generate Data
forecasts
Extract Forecasts
fixF
Set SS Model F Matrix to Constants
gmap
Basis Transformation of a Model.
horizonForecasts
Calculate forecasts at specified horizons
checkBalance
Check Balance of a TSmodel
ARMA
ARMA Model Constructor
forecast
Forecast Multiple Steps Ahead
McMillanDegree
Calculate McMillan Degree
l.ARMA
Evaluate an ARMA TSmodel
mineStepwise
Mine Stepwise
minForecastCov
Minimum Forecast Cov Models
markovParms
Markov Parameters
classed
Tframe Library Utilities
periodsMonteCarloSimulations
Tframe or Number of Periods
DSEflags
Flags to Indicate Use of Compiled Code
checktframeConsistent
Check for a Consistent tframe
diffLog
Calculate the difference of log data
TSdata
Construct TSdata time series object
periods.TSdata
Specific Methods for tframed Data
acf
Calculate the acf for an object
plot.roots
Plot Model Roots
phasePlots
Calculate Phase Plots
Portmanteau
Calculate Portmanteau statistic
residualStats
Calculate Residuals Statistics and Likelihood
minimumStartupLag
Starting Periods Required
checkResiduals
Autocorrelations Diagnostics
selectForecastCov
Select Forecast Covariances Meeting Criteria
selectSeries
Extract a Subset of Series
seriesNames
Names of Series in a time series object
balanceMittnik
Balance a state space model
egJofF.1dec93.data
Eleven Time Series used in Gilbert (1995)
generateSSmodel
Randomly generate a state space model
makeTSnoise
Generate a random time series
smoother
Evaluate a smoother with a TSmodel
checkConsistentDimensions
Check Consistent Dimensions
testEqual
Compare Two Objects
tfdiff
Time Series Differencing
tfplot.TSdata
Tfplot Specific Methods
estBlackBox1
Estimate a TSmodel
scale.TSdata
Scale Methods for TS objects
estimatorsHorizonForecastsWRTdata
Estimate models and forecast at given horizons
combine.forecastCov
Combine 2 Forecast Cov Objects
tframe
Extract or Set a tframe
toSSOform
Convert to Oform
nseries
Number of Series
tbind
Bind Time Series
totalForecastCov
Sum covariance of forecasts across all series
tframed.TSdata
Specific Methods for tframed Data
percentChange
Calculate percent change
seriesNamesInput
TSdata Series Names
periodsInput
TSdata Periods
percentChange.TSdata
Calculate percent change
print.TSdata
Print Specific Methods
reachability
Calculate Model Reachability Matrix
trimNA
Trim NAs from Time Series
residuals.TSestModel
Calculate the residuals for an object
nseriesfeatherForecasts
Number of Series
state
Extract State
testEqualtframes
Compare Two Time Frames
tfplot.rootsEstEval
Specific tfplot methods for rootsEstEval (EstEval) objects
toSS
Convert to State Space Model
tfprint
Print Tframed Objects
ytoypc
Convert to year to year percent change