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dse (version 2009.7-1)
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Install
install.packages('dse')
Monthly Downloads
142
Version
2009.7-1
License
GPL-2 | file LICENSE
Maintainer
Paul Gilbert
Last Published
July 26th, 2009
Functions in dse (2009.7-1)
Search all functions
checkConsistentDimensions
Check Consistent Dimensions
reachability
Calculate Model Reachability Matrix
DSEutilities
DSE Utilities
MittnikReduction
Balance and Reduce a Model
ARMA
ARMA Model Constructor
TSmodel
Time Series Models
MonteCarloSimulations
Generate simulations
checkBalanceMittnik
Check Balance of a TSmodel
Portmanteau
Calculate Portmanteau statistic
EstEval
Evaluate an estimation method
combine
Combine two objects.
estBlackBox3
Estimate a TSmodel
TSdata.object
time series data object
genMineData
Generate Data
MittnikReducedModels
Reduced Models via Mittnik SVD balancing
observability
Calculate Model Observability Matrix
forecast
Forecast Multiple Steps Ahead
combine.TSdata
Combine series from two TSdata objects.
SS
State Space Models
nstates
State Dimension of a State Space Model
00.dse.Intro
Dynamic Systems Estimation - Multivariate Time Series Package
fixF
Set SS Model F Matrix to Constants
coef.TSmodel
Extract or set Model Parameters
distribution.MonteCarloSimulations
Generate distribution plots of Monte Carlo simulations
inputData
TSdata Series
periods.TSdata
Specific Methods for tframed Data
extractforecastCov
Extract Forecast Covariance
TSestModel
Estimated Time Series Model
checkResiduals
Autocorrelations Diagnostics
TSdata
Construct TSdata time series object
estSSMittnik
Estimate a State Space Model
makeTSnoise
Generate a random time series
estMaxLik
Maximum Likelihood Estimation
egJofF.1dec93.data
Eleven Time Series used in Gilbert (1995)
balanceMittnik
Balance a state space model
coef.TSmodelEstEval
Specific Methods for coef
l.ARMA
Evaluate an ARMA TSmodel
informationTests
Tabulates selection criteria
DSEversion
Print Version Information
gmap
Basis Transformation of a Model.
forecastCovReductionsWRTtrue
Forecast covariance for different models
acf
Calculate the acf for an object
checkBalance
Check Balance of a TSmodel
combine.forecastCov
Combine 2 Forecast Cov Objects
McMillanDegree
Calculate McMillan Degree
TSdata.forecastCov
TS Extractor Specific Methods
smoother
Evaluate a smoother with a TSmodel
estVARXar
Estimate a VAR TSmodel
percentChange.TSdata
Calculate percent change
l
Evaluate a TSmodel
informationTestsCalculations
Calculate selection criteria
selectForecastCov
Select Forecast Covariances Meeting Criteria
DSEflags
Flags to Indicate Use of Compiled Code
distribution
Plot distribution of estimates
markovParms
Markov Parameters
print.TSestModel
Display TSmodel Arrays
seriesNamesInput.forecast
TS Input and Output Specific Methods
tfplot.rootsEstEval
Specific tfplot methods for rootsEstEval (EstEval) objects
dse-package
Dynamic Systems Estimation - Multivariate Time Series Package
Riccati
Riccati Equation
eg1.DSE.data
Four Time Series used in Gilbert (1993)
simulate
Simulate a TSmodel
outOfSample.forecastCovEstimatorsWRTdata
Calculate Out-of-Sample Forecasts
excludeForecastCov
Filter Object to Remove Forecasts
featherForecasts
Multiple Horizon-Step Ahead Forecasts
minimumStartupLag
Starting Periods Required
estBlackBox
Estimate a TSmodel
fixConstants
Fix TSmodel Coefficients (Parameters) to Constants
horizonForecasts
Calculate forecasts at specified horizons
forecastCovCompiled
Forecast covariance for different models - internal
nseriesInput
Number of Series in in Input or Output
estWtVariables
Weighted Estimation
estSSfromVARX
Estimate a state space TSmodel using VAR estimation
stability
Calculate Stability of a TSmodel
estimatorsHorizonForecastsWRTdata
Estimate models and forecast at given horizons
permute
Permute
forecastCov
Forecast covariance for different models
estBlackBox2
Estimate a TSmodel
tfplot.forecastCov
Plots of Forecast Variance
estimateModels
Estimate Models
testEqual.estimatedModels
Specific Methods for Testing Equality
forecastCovEstimatorsWRTtrue
Compare Forecasts Cov Relative to True Model Output
tframed.TSdata
Specific Methods for tframed Data
seriesNamesInput
TSdata Series Names
phasePlots
Calculate Phase Plots
testEqual.ARMA
Specific Methods for Testing Equality
minForecastCov
Minimum Forecast Cov Models
summary.estimatedModels
Summary Specific Methods
state
Extract State
addPlotRoots
Add Model Roots to a plot
forecasts
Extract Forecasts
setArrays
Set TSmodel Array Information
print.estimatedModels
Print Specific Methods
sumSqerror
Calculate sum of squared prediction errors
horizonForecastsCompiled
Calculate forecasts at specified horizons
bestTSestModel
Select Best Model
summary.TSdata
Specific Methods for Summary
tfplot.TSdata.ee
Specific Methods for tfplot
generateSSmodel
Randomly generate a state space model
estBlackBox4
Estimate a TSmodel
estVARXls
Estimate a VAR TSmodel
is.forecastCovEstimatorsWRTdata.subsets
Check Inheritance
print.TSdata
Print Specific Methods
roots
Calculate Model Roots
periodsMonteCarloSimulations
Tframe or Number of Periods
forecastCovWRTtrue
Compare Forecasts to True Model Output
periodsInput
TSdata Periods
l.SS
Evaluate a state space TSmodel
residualStats
Calculate Residuals Statistics and Likelihood
shockDecomposition
Shock Decomposition
nseriesfeatherForecasts
Number of Series
tfplot.coefEstEval
Specific tfplot methods for coefEstEval (EstEval) objects
forecastCovEstimatorsWRTdata
Calculate Forecast Cov of Estimators WRT Data
seriesNames.TSdata
Series Names Specific Methods
tfplot.MonteCarloSimulations
Generate plots of Monte Carlo simulations
toSSOform
Convert to Oform
stripMine
Select a Data Subset and Model
toSSChol
Convert to Non-Innovation State Space Model
toSSinnov
Convert to State Space Innovations Model
scale.TSdata
Scale Methods for TS objects
toARMA
Convert to an ARMA Model
setTSmodelParameters
Set TSmodel Parameter Information
toSS
Convert to State Space Model
tfplot.TSdata
Tfplot Specific Methods
totalForecastCov
Sum covariance of forecasts across all series
Polynomials
Polynomial Utilities
estBlackBox1
Estimate a TSmodel
plot.roots
Plot Model Roots
roots.estimatedModels
Roots Specific Methods
residuals.TSestModel
Calculate the residuals for an object