Dynamic Systems Estimation (time series package)
Description
Package dse provides tools for multivariate, linear, time-invariant,
time series models. It includes ARMA and state-space representations,
and methods for converting between them. It also includes simulation
methods and several estimation functions. The package has functions
for looking at model roots, stability, and forecasts at different
horizons. The ARMA model representation is general, so that VAR, VARX,
ARIMA, ARMAX, ARIMAX can all be considered to be special cases. Kalman
filter and smoother estimates can be obtained from the state space
model, and state-space model reduction techniques are implemented.
An introduction and User's Guide is available in a vignette.