Statistical algorithms for models in state space form using SsfPack 2.2.
Опубликовано на портале: 07-04-2004
Econometrics Journal.
1999.
Vol. 2.
No. 1.
P. 107-160.
Тематический раздел:
The paper discusses and documents the algorithms of SsfPack 2.2. SsfPack
is a suite of C routines for carrying out computations involving the statistical
analysis of univariate models in state space form. The emphasis is on documenting
the link we have made to the Ox computing environment. SsfPack allows for
a full range of different state space forms: from a simple time-invariant model to
a complicated time-varying model. Functions can be used which put standart models
such as ARMA and cubic spline models in state space form. Basic functions are available
for filtering, moment smoothing and simulation smoothing. Ready-to-use functions
are provided for standart tasks such as likelihood evaluation, forecasting and signal
extraction. They shows that SsfPack can be easily used for implementing,
fitting and analysing Gaussian models relevant to many areas of econometrics and
statistics. Some Gaussian illustrations are given.
Ключевые слова
математическая модель математическая статистика обзор программного обеспечения программа программное обеспечение статистическая модель
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Социология: методология, методы и математическое моделирование (Социология: 4М).
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