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stsm (version 1.7)
Structural Time Series Models
Description
Fit the basic structural time series model by maximum likelihood.
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Version
Version
1.9
1.7
1.4
1.3
1.2
1.1
Install
install.packages('stsm')
Monthly Downloads
16
Version
1.7
License
GPL-2
Maintainer
Javier López-de-Lacalle
Last Published
January 26th, 2015
Functions in stsm (1.7)
Search all functions
datagen.stsm
Generate Data from a Structural Time Series Model
mloglik.fd
Spectral Log-Likelihood Function and Derivatives
methods-vcov-confint
Variance-covariance Matrix for a Fitted
stsm
Model Object
stsm-class
Class
stsm
for Structural Time Series Models
methods-stsmFit
Methods to Extract Information from a Fitted
stsm
Model Object
stsmFit
Interface to Different Fitting Procedures
force.defpos
Force Positive Definiteness of a Matrix
stsm-set-methods
Setter Methods for Class
stsm
stsm-transPars-methods
Parameterization of Models Defined in the Class
stsm
barrier.eval
Barrier Term in the Likelihood Function
stsm-get-methods
Getter Methods for Class
stsm
stsm-validObject-methods
Check the Validity of an Object of Class
stsm
maxlik.em
Maximization of the Time Domain Likelihood Function via the Expectation-Maximization Algorithm
sim-data
Simulated Data
stsm-char2numeric-methods
State Space Representation of Objects of Class
stsm
method-logLik
Extract Log-Likelihood
linesearch
Choice of the Step Size in the Scoring Algorithm
maxlik.fd
Maximization of the Spectral Likelihood Function
stsm.model
Wrapper for Constructor of Objects of Class
stsm
stsm.sgf
Spectral Generating Function of Common Structural Time Series Models
gdp4795
USA Real Gross Domestic Product
mloglik.td
Time Domain Log-Likelihood Function and Derivatives
stsm-package
Structural Time Series Models
maxlik.td
Maximization of the Time Domain Likelihood Function
init.vars
Initial Parameter Values
stsm-show-methods
Display an Object of Class
stsm