State Space Modeling Using SsfPack in S+FinMetrics 3.0

Eric W. Zivot

Journal of Statistical Software, 2011, vol. 041, issue i05

Abstract: This paper presents two illustrations of state space modeling in S-PLUS using the SsfPack 3.0 routines implemented in S+FinMetrics 3.0. The state space modeling functions in S+FinMetrics/SsfPack are extremely flexible 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.

Date: 2011-05-12
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.jstatsoft.org/index.php/jss/article/view/v041i05/v41i05.pdf
https://www.jstatsoft.org/index.php/jss/article/do ... e/v041i05/v41i05.ssc
https://www.jstatsoft.org/index.php/jss/article/do ... 1i05/v41i05-data.zip

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:041:i05

DOI: 10.18637/jss.v041.i05

Access Statistics for this article

Journal of Statistical Software is currently edited by Bettina Grün, Edzer Pebesma and Achim Zeileis

More articles in Journal of Statistical Software from Foundation for Open Access Statistics
Bibliographic data for series maintained by Christopher F. Baum ().