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statespacer (version 0.1.0)

State Space Modelling in 'R'

Description

A tool that makes estimating models in state space form a breeze. See "Time Series Analysis by State Space Methods" by Durbin and Koopman (2012, ISBN: 978-0-19-964117-8) for details about the algorithms implemented.

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Install

install.packages('statespacer')

Monthly Downloads

304

Version

0.1.0

License

MIT + file LICENSE

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Repository

https://github.com/DylanB95/statespacer

Homepage

https://DylanB95.github.io/statespacer

Maintainer

Dylan Beijers

Last Published

May 16th, 2020

Functions in statespacer (0.1.0)

statespacer-package

statespacer: A package for state space modelling in R.

StateSpaceFit

State Space Model Fitting

StateSpaceForecast

State Space Model Forecasting

CoeffARMA

Transform arbitrary matrices into ARMA coefficient matrices

BlockMatrix

Combine Matrices into a Block Diagonal Matrix

StateSpaceEval

State Space Model Evaluation at Specified Parameters

Cholesky

Construct a Valid Variance - Covariance Matrix