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State space models in R
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نویسنده
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petris g. ,petrone s.
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منبع
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journal of statistical software - 2011 - دوره : 41 - - کد همایش: - صفحه:1 -25
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چکیده
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We give an overview of some of the software tools available in r,either as builtin functions or contributed packages,for the analysis of state space models. several illustrative examples are included,covering constant and time-varying models for both univariate and multivariate time series. maximum likelihood and bayesian methods to obtain parameter estimates are considered.
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کلیدواژه
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Kalman lter; R; Software tools; State space models; Unobserved components
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آدرس
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university of arkansas, United States, università bocconi, United States
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Authors
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