R functions for statistical analysis, modeling and simulation of time series with state space model.
This package provides functions for statistical analysis, modeling and simulation of time series. These functions are developed based on source code of "FORTRAN 77 Programming for Time Series Analysis".
Now, a revised edition "Introduction to Time Series Analysis (in Japanese)" and "Introduction to Time Series Modeling" are published.
Kitagawa, G. (2010) Introduction to Time Series Modeling. Chapman & Hall/CRC.
Kitagawa, G. and Gersch, W. (1996) Smoothness Priors Analysis of Time Series. Lecture Notes in Statistics, No.116, Springer-Verlag.
Kitagawa, G. (2005) Introduction to Time Series Analysis (in Japanese). Iwanami Publishing Company.
Kitagawa, G. (1993) FORTRAN 77 Programming for Time Series Analysis (in Japanese). The Iwanami Computer Science Series.