TSSS v1.2.3


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Time Series Analysis with State Space Model

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).

Functions in TSSS

Name Description
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
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License GPL (>= 2)
MailingList Please send bug reports to ismrp@jasp.ism.ac.jp
NeedsCompilation yes
Packaged 2019-04-14 23:38:47 UTC; msaga
Repository CRAN
Date/Publication 2019-04-15 08:22:42 UTC

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