State Space Models in R

Giovanni Petris and Sonia Petrone

Journal of Statistical Software, 2011, vol. 041, issue i04

Abstract: We give an overview of some of the software tools available in R, either as built- in 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.

Date: 2011-05-12
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:041:i04

DOI: 10.18637/jss.v041.i04

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