ARMADLM: RATS procedure to set up a DLM (state-space model) based upon an ARMA model

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Sets up the transition equation matrices for a state-space representation of an ARMA mode. The procedure takes an input ARMA equation you supply and sets up appropriate "A" and "SW" matrices. Jones(1980), "Maximum Likelihood Fitting of ARMA Models", Technometrics, 389-395.

Language: RATS
Requires: RATS 5.00
Keywords: ARIMA; state-space models (search for similar items in EconPapers)
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