The State Space Models Toolbox for MATLAB
State Space Models (SSM) is a MATLAB toolbox for time series analysis by state space methods. The software features fully interactive construction and combination of models, with support for univariate and multivariate models, complex time-varying (dy- namic) models, non-Gaussian models, and various...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2011-05-01
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| Series: | Journal of Statistical Software |
| Subjects: | |
| Online Access: | http://www.jstatsoft.org/v41/i06/paper |
| _version_ | 1818982607828811776 |
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| author | Jyh-Ying Peng John A. D. Aston |
| author_facet | Jyh-Ying Peng John A. D. Aston |
| author_sort | Jyh-Ying Peng |
| collection | DOAJ |
| description | State Space Models (SSM) is a MATLAB toolbox for time series analysis by state space methods. The software features fully interactive construction and combination of models, with support for univariate and multivariate models, complex time-varying (dy- namic) models, non-Gaussian models, and various standard models such as ARIMA and structural time-series models. The software includes standard functions for Kalman fil- tering and smoothing, simulation smoothing, likelihood evaluation, parameter estimation, signal extraction and forecasting, with incorporation of exact initialization for filters and smoothers, and support for missing observations and multiple time series input with com- mon analysis structure. The software also includes implementations of TRAMO model selection and Hillmer-Tiao decomposition for ARIMA models. The software will provide a general toolbox for time series analysis on the MATLAB platform, allowing users to take advantage of its readily available graph plotting and general matrix computation capabilities. |
| first_indexed | 2024-12-20T17:49:55Z |
| format | Article |
| id | doaj.art-d7095b7114ab416fbdada84c4babaefb |
| institution | Directory Open Access Journal |
| issn | 1548-7660 |
| language | English |
| last_indexed | 2024-12-20T17:49:55Z |
| publishDate | 2011-05-01 |
| publisher | Foundation for Open Access Statistics |
| record_format | Article |
| series | Journal of Statistical Software |
| spelling | doaj.art-d7095b7114ab416fbdada84c4babaefb2022-12-21T19:30:53ZengFoundation for Open Access StatisticsJournal of Statistical Software1548-76602011-05-014106The State Space Models Toolbox for MATLABJyh-Ying PengJohn A. D. AstonState Space Models (SSM) is a MATLAB toolbox for time series analysis by state space methods. The software features fully interactive construction and combination of models, with support for univariate and multivariate models, complex time-varying (dy- namic) models, non-Gaussian models, and various standard models such as ARIMA and structural time-series models. The software includes standard functions for Kalman fil- tering and smoothing, simulation smoothing, likelihood evaluation, parameter estimation, signal extraction and forecasting, with incorporation of exact initialization for filters and smoothers, and support for missing observations and multiple time series input with com- mon analysis structure. The software also includes implementations of TRAMO model selection and Hillmer-Tiao decomposition for ARIMA models. The software will provide a general toolbox for time series analysis on the MATLAB platform, allowing users to take advantage of its readily available graph plotting and general matrix computation capabilities.http://www.jstatsoft.org/v41/i06/paperARMA modelKalman filterstate space methodsunobserved componentssoftware toolsTRAMO/SEATS |
| spellingShingle | Jyh-Ying Peng John A. D. Aston The State Space Models Toolbox for MATLAB Journal of Statistical Software ARMA model Kalman filter state space methods unobserved components software tools TRAMO/SEATS |
| title | The State Space Models Toolbox for MATLAB |
| title_full | The State Space Models Toolbox for MATLAB |
| title_fullStr | The State Space Models Toolbox for MATLAB |
| title_full_unstemmed | The State Space Models Toolbox for MATLAB |
| title_short | The State Space Models Toolbox for MATLAB |
| title_sort | state space models toolbox for matlab |
| topic | ARMA model Kalman filter state space methods unobserved components software tools TRAMO/SEATS |
| url | http://www.jstatsoft.org/v41/i06/paper |
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