The State Space Models Toolbox for MATLAB

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...

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Bibliographic Details
Main Authors: Jyh-Ying Peng, John A. D. Aston
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2011-05-01
Series:Journal of Statistical Software
Subjects:
ARMA model
Kalman filter
state space methods
unobserved components
software tools
TRAMO/SEATS
Online Access:http://www.jstatsoft.org/v41/i06/paper

Internet

http://www.jstatsoft.org/v41/i06/paper

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