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dse (version 2007.7-1)
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Install
install.packages('dse')
Monthly Downloads
142
Version
2007.7-1
License
Free. See the LICENCE file for details.
Maintainer
Paul Gilbert
Last Published
February 26th, 2020
Functions in dse (2007.7-1)
Search all functions
Portmanteau
Calculate Portmanteau statistic
DSEflags
Flags to Indicate Use of Compiled Code
balanceMittnik
Balance a state space model
EstEval
Evaluate an estimation method
fixF
Set SS Model F Matrix to Constants
SS
State Space Models
estBlackBox4
Estimate a TSmodel
addPlotRoots
Add Model Roots to a plot
distribution.MonteCarloSimulations
Generate distribution plots of Monte Carlo simulations
is.forecastCovEstimatorsWRTdata.subsets
Check Inheritance
estBlackBox2
Estimate a TSmodel
estBlackBox1
Estimate a TSmodel
MittnikReducedModels
Reduced Models via Mittnik SVD balancing
horizonForecasts
Calculate forecasts at specified horizons
egJofF.1dec93.data
Eleven Time Series used in Gilbert (1995)
forecastCov
Forecast covariance for different models
00.dse.Intro
Dynamic Systems Estimation - Multivariate Time Series Package
DSEutilities
DSE Utilities
MonteCarloSimulations
Generate simulations
distribution
Plot distribution of estimates
horizonForecastsCompiled
Calculate forecasts at specified horizons
forecastCovEstimatorsWRTdata
Calculate Forecast Cov of Estimators WRT Data
estBlackBox
Estimate a TSmodel
MittnikReduction
Balance and Reduce a Model
ARMA
ARMA Model Constructor
estMaxLik
Maximum Likelihood Estimation
McMillanDegree
Calculate McMillan Degree
checkResiduals
Autocorrelations Diagnostics
percentChange.TSdata
Calculate percent change
TSdata
Construct TSdata time series object
estVARXar
Estimate a VAR TSmodel
TSmodel
Time Series Models
acf
Calculate the acf for an object
Polynomials
Polynomial Utilities
TSdata.object
time series data object
forecasts
Extract Forecasts
estWtVariables
Weighted Estimation
coef.TSmodel
Extract or set Model Parameters
inputData
TSdata Series
estBlackBox3
Estimate a TSmodel
combine.forecastCov
Combine 2 Forecast Cov Objects
forecastCovReductionsWRTtrue
Forecast covariance for different models
combine
Combine two objects.
reachability
Calculate Model Reachability Matrix
forecastCovEstimatorsWRTtrue
Compare Forecasts Cov Relative to True Model Output
informationTestsCalculations
Calculate selection criteria
genMineData
Generate Data
plot.mineStepwise
Plot Mine Stepwise Object
Riccati
Riccati Equation
informationTests
Tabulates selection criteria
bestTSestModel
Select Best Model
DSEversion
Print Version Information
TSestModel
Estimated Time Series Model
seriesNames.TSdata
Series Names Specific Methods
coef.TSmodelEstEval
Specific Methods for coef
estVARXls
Estimate a VAR TSmodel
phasePlots
Calculate Phase Plots
combine.TSdata
Combine series from two TSdata objects.
extractforecastCov
Extract Forecast Covariance
checkConsistentDimensions
Check Consistent Dimensions
dse-package
Dynamic Systems Estimation - Multivariate Time Series Package
estimateModels
Estimate Models
forecastCovWRTtrue
Compare Forecasts to True Model Output
makeTSnoise
Generate a random time series
markovParms
Markov Parameters
eg1.DSE.data
Four Time Series used in Gilbert (1993)
print.estimatedModels
Print Specific Methods
simulate
Simulate a TSmodel
estSSfromVARX
Estimate a state space TSmodel using VAR estimation
checkBalanceMittnik
Check Balance of a TSmodel
nseriesInput
Number of Series in in Input or Output
generateSSmodel
Randomly generate a state space model
l
Evaluate a TSmodel
residuals.TSestModel
Calculate the residuals for an object
l.ARMA
Evaluate an ARMA TSmodel
observability
Calculate Model Observability Matrix
plot.roots
Plot Model Roots
l.SS
Evaluate a state space TSmodel
permute
Permute
forecast
Forecast Multiple Steps Ahead
residualStats
Calculate Residuals Statistics and Likelihood
featherForecasts
Multiple Horizon-Step Ahead Forecasts
outOfSample.forecastCovEstimatorsWRTdata
Calculate Out-of-Sample Forecasts
minForecastCov
Minimum Forecast Cov Models
fixConstants
Fix TSmodel Coefficients (Parameters) to Constants
tfplot.rootsEstEval
Specific tfplot methods for rootsEstEval (EstEval) objects
stability
Calculate Stability of a TSmodel
print.TSdata
Print Specific Methods
sumSqerror
Calculate sum of squared prediction errors
nseriesfeatherForecasts
Number of Series
tfplot.forecastCov
Plots of Forecast Variance
periodsInput
TSdata Periods
minimumStartupLag
Starting Periods Required
roots
Calculate Model Roots
nstates
State Dimension of a State Space Model
roots.estimatedModels
Roots Specific Methods
periods.TSdata
Specific Methods for tframed Data
selectForecastCov
Select Forecast Covariances Meeting Criteria
mineStepwise
Mine Stepwise
seriesNamesInput.forecast
TS Input and Output Specific Methods
scale.TSdata
Scale Methods for TS objects
testEqual.ARMA
Specific Methods for Testing Equality
excludeForecastCov
Filter Object to Remove Forecasts
estSSMittnik
Estimate a State Space Model
estimatorsHorizonForecastsWRTdata
Estimate models and forecast at given horizons
summary.estimatedModels
Summary Specific Methods
shockDecomposition
Shock Decomposition
periodsMonteCarloSimulations
Tframe or Number of Periods
tframed.TSdata
Specific Methods for tframed Data
setArrays
Set TSmodel Array Information
totalForecastCov
Sum covariance of forecasts across all series
toSSinnov
Convert to State Space Innovations Model
tfplot.TSdata
Tfplot Specific Methods
state
Extract State
tfplot.TSdata.ee
Specific Methods for tfplot
setTSmodelParameters
Set TSmodel Parameter Information
seriesNamesInput
TSdata Series Names
toSSOform
Convert to Oform
testEqual.estimatedModels
Specific Methods for Testing Equality
stripMine
Select a Data Subset and Model
toARMA
Convert to an ARMA Model
toSSChol
Convert to Non-Innovation State Space Model
toSS
Convert to State Space Model
summary.TSdata
Specific Methods for Summary
tfplot.MonteCarloSimulations
Generate plots of Monte Carlo simulations
tfplot.coefEstEval
Specific tfplot methods for coefEstEval (EstEval) objects
TSdata.forecastCov
TS Extractor Specific Methods
forecastCovCompiled
Forecast covariance for different models - internal
checkBalance
Check Balance of a TSmodel
gmap
Basis Transformation of a Model.
print.TSestModel
Display TSmodel Arrays
smoother
Evaluate a smoother with a TSmodel