dse: Dynamic Systems Estimation (time series package)
Package dse provides tools for multivariate, linear,
time-invariant, time series models. It includes ARMA and
state-space representations, and methods for converting between
them. It also includes simulation methods and several
estimation functions. The package has functions for looking at
model roots, stability, and forecasts at different horizons.
The ARMA model representation is general, so that VAR, VARX,
ARIMA, ARMAX, ARIMAX can all be considered to be special cases.
Kalman filter and smoother estimates can be obtained from the
state space model, and state-space model reduction techniques
are implemented. An introduction and User's Guide is available
in a vignette.