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TSSS (version 1.2.3)

Time Series Analysis with State Space Model

Description

Functions for statistical analysis, modeling and simulation of time series with state space model, based on the methodology in Kitagawa (1993, ISBN: 4-00-007703-1 and 2005, ISBN: 4-00-005455-4).

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Version

Install

install.packages('TSSS')

Monthly Downloads

422

Version

1.2.3

License

GPL (>= 2)

Maintainer

Masami Saga

Last Published

April 15th, 2019

Functions in TSSS (1.2.3)

BLSALLFOOD

BLSALLFOOD Data
plot.smooth

Plot Mean Vectors of Smoother
plot.spg

Plot Smoothed Periodogram
Temperature

Temperatures Data
fftper

Compute a Periodogram via FFT
klinfo

Kullback-Leibler Information
pdfunc

Probability Density Function
period

Compute a Periodogram
lsar

Decomposition of Time Interval to Stationary Subintervals
lsar.chgpt

Estimation of the Change Point
plot.arma

Plot Analysis Result of ARMA Model
plot.lsqr

Plot Fitted Trigonometric Polynomial
simssm

Simulation by Gaussian State Space Model
tsmooth

Prediction and Interpolation of Time Series
tvar

Time Varying Coefficients AR Model
trend

Trend Estimation
WHARD

Wholesale Hardware Data
arfit

Univariate AR Model Fitting
unicor

Autocovariance and Autocorrelation
marlsq

Least Squares Method for Multivariate AR Model
marspc

Cross Spectra and Power Contribution
armafit

Scalar ARMA Model Fitting
armaimp

Calculate Characteristics of Scalar ARMA Model
lsqr

The Least Squares Method via Householder Transformation
marfit

Yule-Walker Method of Fitting Multivariate AR Model Fitting
plot.ngsmth

Plot Smoothed Density Function
plot.polreg

Plot Fitted Polynomial Trend
ngsim

Simulation by Non-Gaussian State Space Model
plot.tvspc

Plot Evolutionary Power Spectra Obtained by Time Varying AR Model
plot.trend

Plot Trend and Residuals
ngsmth

Non-Gaussian Smoothing
MYE1F

Seismic Data
Sunspot

Sun Spot Number Data
plot.season

Plot Trend, Seasonal and AR Components
plot.simulate

Plot Simulated Data Generated by State Space Model
polreg

Polynomial Regression Model
season

Seasonal Adjustment
tvspc

Evolutionary Power Spectra by Time Varying AR Model
tvvar

Time Varying Variance
TSSS-package

Time Series Analysis with State Space Model
HAKUSAN

Ship's Navigation Data
boxcox

Box-Cox Transformation
crscor

Cross-Covariance and Cross-Correlation