State space modeling using Ssfpack in S+FinMetrics 3.0
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نویسنده
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zivot e.w.
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منبع
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journal of statistical software - 2011 - دوره : 41 - - کد همایش: - صفحه:1 -27
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چکیده
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This paper presents two illustrations of state space modeling in s-plus using the ssf-pack 3.0 routines implemented in s+finmetrics 3.0. the state space modeling functions in s+finmetrics/ssfpack are extremely exible and powerful and can be used for a wide variety of linear gaussian state space models and for some non-linear and non-gaussian state space models.
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کلیدواژه
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S-plus; Software tools; State space models
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آدرس
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university of washington, United States
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