The SSM Toolbox for Matlab
نویسندگان
چکیده
State Space Models (SSM) is a MATLAB 7.0 software toolbox for doing time series analysis by state space meth-ods. The software features fully interactive construction and combination of models, with support for univariate andmultivariate models, complex time-varying (dynamic) models, non-Gaussian models, and various standard modelssuch as ARIMA and structural time-series models. The software includes standard functions for Kalman filteringand 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 multipletime series input with common analysis structure. The software also includes implementations of TRAMO modelselection and Hillmer-Tiao decomposition for ARIMA models. The software will provide a general toolbox for doingtime series analysis on the MATLAB platform, allowing users to take advantage of its readily available graph plottingand general matrix computation capabilities.
منابع مشابه
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 (dynamic) models, non-Gaussian models, and various standard models such as ARIMA and structural time-series models. The software includes standard fu...
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