statespacer (version 0.5.0)

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

0.5.0

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

January 27th, 2023

Functions in statespacer (0.5.0)

Cholesky

Construct a Valid Variance - Covariance Matrix

FedYieldCurve

Federal Reserve Interest Rates

CoeffARMA

Transform arbitrary matrices into ARMA coefficient matrices

statespacer

State Space Model Fitting

SimSmoother

Generating Random Samples using the Simulation Smoother

BlockMatrix

Combine Matrices into a Block Diagonal Matrix

predict.statespacer

State Space Model Forecasting

statespacer-package

statespacer: A package for state space modelling in R.