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dse (version 2007.11-1)

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Install

install.packages('dse')

Monthly Downloads

29

Version

2007.11-1

License

GPL-2 | file LICENSE

Maintainer

Paul Gilbert

Last Published

February 26th, 2020

Functions in dse (2007.11-1)

DSEutilities

DSE Utilities
00.dse.Intro

Dynamic Systems Estimation - Multivariate Time Series Package
balanceMittnik

Balance a state space model
phasePlots

Calculate Phase Plots
checkBalanceMittnik

Check Balance of a TSmodel
estSSMittnik

Estimate a State Space Model
MonteCarloSimulations

Generate simulations
TSestModel

Estimated Time Series Model
fixConstants

Fix TSmodel Coefficients (Parameters) to Constants
gmap

Basis Transformation of a Model.
selectForecastCov

Select Forecast Covariances Meeting Criteria
horizonForecastsCompiled

Calculate forecasts at specified horizons
forecastCov

Forecast covariance for different models
MittnikReducedModels

Reduced Models via Mittnik SVD balancing
TSdata.object

time series data object
estBlackBox4

Estimate a TSmodel
DSEflags

Flags to Indicate Use of Compiled Code
Portmanteau

Calculate Portmanteau statistic
TSdata.forecastCov

TS Extractor Specific Methods
toARMA

Convert to an ARMA Model
dse-package

Dynamic Systems Estimation - Multivariate Time Series Package
SS

State Space Models
acf

Calculate the acf for an object
estBlackBox1

Estimate a TSmodel
estBlackBox3

Estimate a TSmodel
forecast

Forecast Multiple Steps Ahead
percentChange.TSdata

Calculate percent change
featherForecasts

Multiple Horizon-Step Ahead Forecasts
Polynomials

Polynomial Utilities
bestTSestModel

Select Best Model
distribution.MonteCarloSimulations

Generate distribution plots of Monte Carlo simulations
estBlackBox

Estimate a TSmodel
distribution

Plot distribution of estimates
checkConsistentDimensions

Check Consistent Dimensions
excludeForecastCov

Filter Object to Remove Forecasts
McMillanDegree

Calculate McMillan Degree
ARMA

ARMA Model Constructor
addPlotRoots

Add Model Roots to a plot
nstates

State Dimension of a State Space Model
TSmodel

Time Series Models
print.TSestModel

Display TSmodel Arrays
combine

Combine two objects.
estBlackBox2

Estimate a TSmodel
estWtVariables

Weighted Estimation
estimateModels

Estimate Models
combine.TSdata

Combine series from two TSdata objects.
eg1.DSE.data

Four Time Series used in Gilbert (1993)
checkBalance

Check Balance of a TSmodel
inputData

TSdata Series
coef.TSmodelEstEval

Specific Methods for coef
setTSmodelParameters

Set TSmodel Parameter Information
Riccati

Riccati Equation
egJofF.1dec93.data

Eleven Time Series used in Gilbert (1995)
informationTests

Tabulates selection criteria
tfplot.TSdata.ee

Specific Methods for tfplot
estimatorsHorizonForecastsWRTdata

Estimate models and forecast at given horizons
TSdata

Construct TSdata time series object
forecastCovEstimatorsWRTdata

Calculate Forecast Cov of Estimators WRT Data
genMineData

Generate Data
toSSinnov

Convert to State Space Innovations Model
estVARXar

Estimate a VAR TSmodel
observability

Calculate Model Observability Matrix
informationTestsCalculations

Calculate selection criteria
generateSSmodel

Randomly generate a state space model
combine.forecastCov

Combine 2 Forecast Cov Objects
forecasts

Extract Forecasts
roots

Calculate Model Roots
seriesNamesInput

TSdata Series Names
print.estimatedModels

Print Specific Methods
summary.estimatedModels

Summary Specific Methods
residuals.TSestModel

Calculate the residuals for an object
tfplot.TSdata

Tfplot Specific Methods
state

Extract State
toSSOform

Convert to Oform
roots.estimatedModels

Roots Specific Methods
toSSChol

Convert to Non-Innovation State Space Model
estMaxLik

Maximum Likelihood Estimation
horizonForecasts

Calculate forecasts at specified horizons
periods.TSdata

Specific Methods for tframed Data
fixF

Set SS Model F Matrix to Constants
is.forecastCovEstimatorsWRTdata.subsets

Check Inheritance
minForecastCov

Minimum Forecast Cov Models
seriesNamesInput.forecast

TS Input and Output Specific Methods
outOfSample.forecastCovEstimatorsWRTdata

Calculate Out-of-Sample Forecasts
estVARXls

Estimate a VAR TSmodel
nseriesInput

Number of Series in in Input or Output
makeTSnoise

Generate a random time series
plot.roots

Plot Model Roots
smoother

Evaluate a smoother with a TSmodel
setArrays

Set TSmodel Array Information
l.ARMA

Evaluate an ARMA TSmodel
residualStats

Calculate Residuals Statistics and Likelihood
periodsInput

TSdata Periods
minimumStartupLag

Starting Periods Required
reachability

Calculate Model Reachability Matrix
simulate

Simulate a TSmodel
print.TSdata

Print Specific Methods
markovParms

Markov Parameters
l

Evaluate a TSmodel
testEqual.ARMA

Specific Methods for Testing Equality
tfplot.forecastCov

Plots of Forecast Variance
summary.TSdata

Specific Methods for Summary
toSS

Convert to State Space Model
totalForecastCov

Sum covariance of forecasts across all series
tfplot.coefEstEval

Specific tfplot methods for coefEstEval (EstEval) objects
forecastCovEstimatorsWRTtrue

Compare Forecasts Cov Relative to True Model Output
MittnikReduction

Balance and Reduce a Model
DSEversion

Print Version Information
extractforecastCov

Extract Forecast Covariance
testEqual.estimatedModels

Specific Methods for Testing Equality
stripMine

Select a Data Subset and Model
stability

Calculate Stability of a TSmodel
forecastCovReductionsWRTtrue

Forecast covariance for different models
tfplot.rootsEstEval

Specific tfplot methods for rootsEstEval (EstEval) objects
seriesNames.TSdata

Series Names Specific Methods
tfplot.MonteCarloSimulations

Generate plots of Monte Carlo simulations
l.SS

Evaluate a state space TSmodel
forecastCovWRTtrue

Compare Forecasts to True Model Output
scale.TSdata

Scale Methods for TS objects
sumSqerror

Calculate sum of squared prediction errors
EstEval

Evaluate an estimation method
checkResiduals

Autocorrelations Diagnostics
coef.TSmodel

Extract or set Model Parameters
estSSfromVARX

Estimate a state space TSmodel using VAR estimation
forecastCovCompiled

Forecast covariance for different models - internal
nseriesfeatherForecasts

Number of Series
periodsMonteCarloSimulations

Tframe or Number of Periods
permute

Permute
shockDecomposition

Shock Decomposition
tframed.TSdata

Specific Methods for tframed Data