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dse (version 2006.4-1)
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Install
install.packages('dse')
Monthly Downloads
29
Version
2006.4-1
License
Free. See the LICENCE file for details.
Maintainer
Paul Gilbert
Last Published
February 26th, 2020
Functions in dse (2006.4-1)
Search all functions
McMillanDegree
Calculate McMillan Degree
TSdata
Construct TSdata time series object
Polynomials
Polynomial Utilities
TSdata.forecastCov
TS Extractor Specific Methods
MonteCarloSimulations
Generate simulations
Portmanteau
Calculate Portmanteau statistic
MittnikReduction
Balance and Reduce a Model
EstEval
Evaluate an estimation method
checkResiduals
Autocorrelations Diagnostics
combine.forecastCov
Combine 2 Forecast Cov Objects
estBlackBox
Estimate a TSmodel
estMaxLik
Maximum Likelihood Estimation
estVARXls
Estimate a VAR TSmodel
freeze
Get fixed data snapshot
horizonForecasts
Calculate forecasts at specified horizons
informationTests
Tabulates selection criteria
l.ARMA
Evaluate an ARMA TSmodel
inputData
TSdata Series
markovParms
Markov Parameters
permute
Permute
percentChange
Calculate percent change
periodsInput
TSdata Periods
print.TSdata
Print Specific Methods
phasePlots
Calculate Phase Plots
roots.estimatedModels
Roots Specific Methods
selectForecastCov
Select Forecast Covariances Meeting Criteria
selectSeries
Extract a Subset of Series
setArrays
Set TSmodel Array Information
00tframe.Intro
Tframe - Generic Approach to Handling Time
balanceMittnik
Balance a state space model
checkBalance
Check Balance of a TSmodel
TSestModel
Estimated Time Series Model
combine
Combine two objects.
sumSqerror
Calculate sum of squared prediction errors
splice
Splice Time Series
distribution.MonteCarloSimulations
Generate distribution plots of Monte Carlo simulations
coef.TSmodel
Extract or set Model Parameters
summary.TSdata
Specific Methods for Summary
dse-package
Dynamic Systems Estimation - Multivariate Time Series Package
testEqualtframes
Compare Two Time Frames
testEqual
Compare Two Objects
estBlackBox3
Estimate a TSmodel
estSSfromVARX
Estimate a state space TSmodel using VAR estimation
testEqual.estimatedModels
Specific Methods for Testing Equality
estimateModels
Estimate Models
estVARXar
Estimate a VAR TSmodel
tfstart
Extract Time Frame Information
estWtVariables
Weighted Estimation
tframed.TSdata
Specific Methods for tframed Data
toSSChol
Convert to Non-Innovation State Space Model
featherForecasts
Multiple Horizon-Step Ahead Forecasts
eg1.DSE.data
Four Time Series used in Gilbert (1993)
forecast
Forecast Multiple Steps Ahead
estimatorsHorizonForecastsWRTdata
Estimate models and forecast at given horizons
ytoypc
Convert to year to year percent change
forecastCovCompiled
Forecast covariance for different models - internal
fixF
Set SS Model F Matrix to Constants
tfprint
Print Tframed Objects
forecastCovEstimatorsWRTdata
Calculate Forecast Cov of Estimators WRT Data
excludeForecastCov
Filter Object to Remove Forecasts
tfplot.coefEstEval
Specific tfplot methods for coefEstEval (EstEval) objects
tframe
Extract or Set a tframe
informationTestsCalculations
Calculate selection criteria
makeTSnoise
Generate a random time series
nseriesInput
Number of Series in in Input or Output
nseriesfeatherForecasts
Number of Series
nseries
Number of Series
mineStepwise
Mine Stepwise
print.TSestModel
Display TSmodel Arrays
outOfSample.forecastCovEstimatorsWRTdata
Calculate Out-of-Sample Forecasts
reachability
Calculate Model Reachability Matrix
residualStats
Calculate Residuals Statistics and Likelihood
seriesNamesInput
TSdata Series Names
simulate
Simulate a TSmodel
stripMine
Select a Data Subset and Model
tfExpand
Expand a Tframe or Tframed Object.
tfplot.TSdata
Tfplot Specific Methods
tfplot.TSdata.ee
Specific Methods for tfplot
tfplot
Plot Tframed Objects
ARMA
ARMA Model Constructor
TSdata.object
time series data object
totalForecastCov
Sum covariance of forecasts across all series
checktframeConsistent
Check for a Consistent tframe
toSSOform
Convert to Oform
toSSinnov
Convert to State Space Innovations Model
trimNA
Trim NAs from Time Series
earliestEnd
Start and End for Objects with Multiple Time Series
estBlackBox1
Estimate a TSmodel
extractforecastCov
Extract Forecast Covariance
forecastCovWRTtrue
Compare Forecasts to True Model Output
forecastCovEstimatorsWRTtrue
Compare Forecasts Cov Relative to True Model Output
horizonForecastsCompiled
Calculate forecasts at specified horizons
00.dse.Intro
Dynamic Systems Estimation - Multivariate Time Series Package
is.forecastCovEstimatorsWRTdata.subsets
Check Inheritance
forecastCov
Forecast covariance for different models
addDate
Add Periods to a Date
TSmodel
Time Series Models
checkConsistentDimensions
Check Consistent Dimensions
DSEutilities
DSE Utilities
DSEversion
Print Version Information
periodsMonteCarloSimulations
Tframe or Number of Periods
observability
Calculate Model Observability Matrix
scale.TSdata
Scale Methods for TS objects
DSEflags
Flags to Indicate Use of Compiled Code
residuals.TSestModel
Calculate the residuals for an object
SS
State Space Models
estBlackBox4
Estimate a TSmodel
distribution
Plot distribution of estimates
state
Extract State
forecasts
Extract Forecasts
tbind
Bind Time Series
forecastCovReductionsWRTtrue
Forecast covariance for different models
genMineData
Generate Data
gmap
Basis Transformation of a Model.
minForecastCov
Minimum Forecast Cov Models
minimumStartupLag
Starting Periods Required
toSS
Convert to State Space Model
toARMA
Convert to an ARMA Model
fixConstants
Fix TSmodel Coefficients (Parameters) to Constants
Riccati
Riccati Equation
plot.mineStepwise
Plot Mine Stepwise Object
percentChange.TSdata
Calculate percent change
print.estimatedModels
Print Specific Methods
addPlotRoots
Add Model Roots to a plot
acf
Calculate the acf for an object
MittnikReducedModels
Reduced Models via Mittnik SVD balancing
bestTSestModel
Select Best Model
seqN
Tframe Library Utilities
classed
Tframe Library Utilities
seriesNames.TSdata
Series Names Specific Methods
coef.TSmodelEstEval
Specific Methods for coef
diffLog
Calculate the difference of log data
seriesNamesInput.forecast
TS Input and Output Specific Methods
stability
Calculate Stability of a TSmodel
checkBalanceMittnik
Check Balance of a TSmodel
smoother
Evaluate a smoother with a TSmodel
combine.TSdata
Combine series from two TSdata objects.
setTSmodelParameters
Set TSmodel Parameter Information
estBlackBox2
Estimate a TSmodel
egJofF.1dec93.data
Eleven Time Series used in Gilbert (1995)
tfplot.MonteCarloSimulations
Generate plots of Monte Carlo simulations
tfwindow
Truncate a Time Series
estSSMittnik
Estimate a State Space Model
tfspan
Time Span
generateSSmodel
Randomly generate a state space model
tfdiff
Time Series Differencing
l
Evaluate a TSmodel
l.SS
Evaluate a state space TSmodel
nstates
State Dimension of a State Space Model
plot.roots
Plot Model Roots
periods.TSdata
Specific Methods for tframed Data
roots
Calculate Model Roots
seriesNames
Names of Series in a time series object
shockDecomposition
Shock Decomposition
summary.estimatedModels
Summary Specific Methods
testEqual.ARMA
Specific Methods for Testing Equality
tfplot.forecastCov
Plots of Forecast Variance
tfplot.rootsEstEval
Specific tfplot methods for rootsEstEval (EstEval) objects