Statistical algorithms for models in state space form using SsfPack 2.2
This paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing envi...
| Autori principali: | , , |
|---|---|
| Altri autori: | |
| Natura: | Journal article |
| Lingua: | English |
| Pubblicazione: |
Blackwell Publishing
1999
|
| Soggetti: |
| _version_ | 1826273145516982272 |
|---|---|
| author | Koopman, S Shephard, N Doornik, J |
| author2 | Royal Economic Society |
| author_facet | Royal Economic Society Koopman, S Shephard, N Doornik, J |
| author_sort | Koopman, S |
| collection | OXFORD |
| description | This paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing environment. SsfPack allows for a full range of different state space forms: from a simple time-invariant model to a complicated time-varying model. Functions can be used which put standard models such as ARMA and cubic spline models in state space form. Basic functions are available for filtering, moment smoothing and simulation smoothing. Ready-to-use functions are provided for standard tasks such as likelihood evaluation, forecasting and signal extraction. We show that SsfPack can be easily used for implementing, fitting and analysing Gaussian models relevant to many areas of econometrics and statistics. Some Gaussian illustrations are given. |
| first_indexed | 2024-03-06T22:23:44Z |
| format | Journal article |
| id | oxford-uuid:55f04354-096a-45d0-a468-5b59f367b60b |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T22:23:44Z |
| publishDate | 1999 |
| publisher | Blackwell Publishing |
| record_format | dspace |
| spelling | oxford-uuid:55f04354-096a-45d0-a468-5b59f367b60b2022-03-26T16:47:16ZStatistical algorithms for models in state space form using SsfPack 2.2Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:55f04354-096a-45d0-a468-5b59f367b60bEconometricsEconomicsEnglishOxford University Research Archive - ValetBlackwell Publishing1999Koopman, SShephard, NDoornik, JRoyal Economic SocietyThis paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing environment. SsfPack allows for a full range of different state space forms: from a simple time-invariant model to a complicated time-varying model. Functions can be used which put standard models such as ARMA and cubic spline models in state space form. Basic functions are available for filtering, moment smoothing and simulation smoothing. Ready-to-use functions are provided for standard tasks such as likelihood evaluation, forecasting and signal extraction. We show that SsfPack can be easily used for implementing, fitting and analysing Gaussian models relevant to many areas of econometrics and statistics. Some Gaussian illustrations are given. |
| spellingShingle | Econometrics Economics Koopman, S Shephard, N Doornik, J Statistical algorithms for models in state space form using SsfPack 2.2 |
| title | Statistical algorithms for models in state space form using SsfPack 2.2 |
| title_full | Statistical algorithms for models in state space form using SsfPack 2.2 |
| title_fullStr | Statistical algorithms for models in state space form using SsfPack 2.2 |
| title_full_unstemmed | Statistical algorithms for models in state space form using SsfPack 2.2 |
| title_short | Statistical algorithms for models in state space form using SsfPack 2.2 |
| title_sort | statistical algorithms for models in state space form using ssfpack 2 2 |
| topic | Econometrics Economics |
| work_keys_str_mv | AT koopmans statisticalalgorithmsformodelsinstatespaceformusingssfpack22 AT shephardn statisticalalgorithmsformodelsinstatespaceformusingssfpack22 AT doornikj statisticalalgorithmsformodelsinstatespaceformusingssfpack22 |