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TSSS (version 1.3.4-5)

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

1.3.4-5

License

GPL (>= 2)

Maintainer

Masami Saga

Last Published

September 29th, 2023

Functions in TSSS (1.3.4-5)

lsqr

The Least Squares Method via Householder Transformation
marfit

Yule-Walker Method of Fitting Multivariate AR Model
pdfunc

Probability Density Function
period

Compute a Periodogram
plot.simulate

Plot Simulated Data Generated by State Space Model
klinfo

Kullback-Leibler Information
plot.season

Plot Trend, Seasonal and AR Components
marlsq

Least Squares Method for Multivariate AR Model
marspc

Cross Spectra and Power Contribution
plot.ngsmth

Plot Smoothed Density Function
plot.polreg

Plot Fitted Polynomial Trend
lsar.chgpt

Estimation of the Change Point
lsar

Decomposition of Time Interval to Stationary Subintervals
pfilter

Particle Filtering and Smoothing
pfilterNL

Particle Filtering and Smoothing for Nonlinear State-Space Model
simssm

Simulation by Gaussian State Space Model
trend

Trend Estimation
tvspc

Evolutionary Power Spectra by Time Varying AR Model
plot.smooth

Plot Posterior Distribution of Smoother
plot.spg

Plot Smoothed Periodogram
tvvar

Time Varying Variance
plot.lsqr

Plot Fitted Trigonometric Polynomial
plot.boxcox

Plot Box-Cox Transformed Data
ngsmth

Non-Gaussian Smoothing
ngsim

Simulation by Non-Gaussian State Space Model
unicor

Autocovariance and Autocorrelation
season

Seasonal Adjustment
polreg

Polynomial Regression Model
tsmooth

Prediction and Interpolation of Time Series
plot.trend

Plot Trend and Residuals
plot.tvspc

Plot Evolutionary Power Spectra Obtained by Time Varying AR Model
tvar

Time Varying Coefficients AR Model
BLSALLFOOD

BLSALLFOOD Data
HAKUSAN

Ship's Navigation Data
MYE1F

Seismic Data
Sunspot

Sunspot Number Data
Rainfall

Rainfall Data
PfilterSample

Sample Data for Particle Filter and Smoother
Nikkei225

Nikkei225
TSSS-package

Time Series Analysis with State Space Model
NLmodel

The Nonlinear State-Space Model Data
Haibara

Haibara Data
armafit

Scalar ARMA Model Fitting
Temperature

Temperatures Data
fftper

Compute a Periodogram via FFT
WHARD

Wholesale Hardware Data
boxcox

Box-Cox Transformation
arfit

Univariate AR Model Fitting
armafit2

Scalar ARMA Model Fitting
crscor

Cross-Covariance and Cross-Correlation
armachar

Calculate Characteristics of Scalar ARMA Model