TY  - JOUR
TI  - Statistical algorithms for models in state space form using SsfPack 
2.2. 
T2  - Econometrics Journal
IS  - 1
KW  - математическая модель
KW  - математическая статистика
KW  - обзор программного обеспечения
KW  - программа
KW  - программное обеспечение
KW  - статистическая модель
AB  - 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. 
AU  - Koopman, Siem Jan
AU  - Shephard , Neil
AU  - Doornik, Jurgen A.
UR  - http://ecsocman.hse.ru/text/18357586/
PY  - 1999
SP  - 107-160
M2  - 107
VL  - 2
SN  - 
N1  - 
LA  - EN
CY  - 
PB  - 
M3  - 
LB  - 
VL  - 
ER  -