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TSSS (version 1.3.1)

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 (2020, ISBN: 978-0-367-18733-0).

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Version

Install

install.packages('TSSS')

Monthly Downloads

397

Version

1.3.1

License

GPL (>= 2)

Maintainer

Masami Saga

Last Published

January 7th, 2021

Functions in TSSS (1.3.1)

TSSS-package

Time Series Analysis with State Space Model
HAKUSAN

Ship's Navigation Data
PfilterSample

Sample Data for Particle Filter and Smoother
Rainfall

Rainfall Data
MYE1F

Seismic Data
Sunspot

Sunspot Number Data
NLmodel

The Nonlinear State-Space Model Data
Haibara

Haibara Data
BLSALLFOOD

BLSALLFOOD Data
Nikkei225

Nikkei225
boxcox

Box-Cox Transformation
marlsq

Least Squares Method for Multivariate AR Model
armachar

Calculate Characteristics of Scalar ARMA Model
WHARD

Wholesale Hardware Data
period

Compute a Periodogram
Temperature

Temperatures Data
ngsmth

Non-Gaussian Smoothing
crscor

Cross-Covariance and Cross-Correlation
pdfunc

Probability Density Function
arfit

Univariate AR Model Fitting
armafit

Scalar ARMA Model Fitting
lsqr

The Least Squares Method via Householder Transformation
ngsim

Simulation by Non-Gaussian State Space Model
marfit

Yule-Walker Method of Fitting Multivariate AR Model
tsmooth

Prediction and Interpolation of Time Series
pfilter

Particle Filtering and Smoothing
pfilterNL

Particle Filtering and Smoothing for Nonlinear State-Space Model
plot.ngsmth

Plot Smoothed Density Function
plot.polreg

Plot Fitted Polynomial Trend
plot.trend

Plot Trend and Residuals
fftper

Compute a Periodogram via FFT
klinfo

Kullback-Leibler Information
tvar

Time Varying Coefficients AR Model
lsar

Decomposition of Time Interval to Stationary Subintervals
plot.tvspc

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

Plot Box-Cox Transformed Data
marspc

Cross Spectra and Power Contribution
lsar.chgpt

Estimation of the Change Point
armafit2

Scalar ARMA Model Fitting
unicor

Autocovariance and Autocorrelation
tvspc

Evolutionary Power Spectra by Time Varying AR Model
polreg

Polynomial Regression Model
plot.season

Plot Trend, Seasonal and AR Components
plot.lsqr

Plot Fitted Trigonometric Polynomial
tvvar

Time Varying Variance
plot.simulate

Plot Simulated Data Generated by State Space Model
season

Seasonal Adjustment
simssm

Simulation by Gaussian State Space Model
plot.spg

Plot Smoothed Periodogram
plot.smooth

Plot Posterior Distribution of Smoother
trend

Trend Estimation