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stsm (version 1.9)

Structural Time Series Models

Description

Fit the basic structural time series model by maximum likelihood.

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Version

Install

install.packages('stsm')

Monthly Downloads

16

Version

1.9

License

GPL-2

Maintainer

Javier López-de-Lacalle

Last Published

October 23rd, 2016

Functions in stsm (1.9)

maxlik.td

Maximization of the Time Domain Likelihood Function
sim-data

Simulated Data
gdp4795

USA Real Gross Domestic Product
linesearch

Choice of the Step Size in the Scoring Algorithm
init.vars

Initial Parameter Values
datagen.stsm

Generate Data from a Structural Time Series Model
maxlik.em

Maximization of the Time Domain Likelihood Function via the Expectation-Maximization Algorithm
methods-stsmFit

Methods to Extract Information from a Fitted stsm Model Object
maxlik.fd

Maximization of the Spectral Likelihood Function
method-logLik

Extract Log-Likelihood
stsm-transPars-methods

Parameterization of Models Defined in the Class stsm
stsm-class

Class stsm for Structural Time Series Models
stsmFit

Interface to Different Fitting Procedures
stsm-show-methods

Display an Object of Class stsm
stsm-validObject-methods

Check the Validity of an Object of Class stsm
stsm-package

Structural Time Series Models
stsm-set-methods

Setter Methods for Class stsm