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.

Version: 2013.3-2
Depends: R (≥ 2.5.0), tframe (≥ 2007.5-3), setRNG (≥ 2004.4-1), tfplot
Published: 2013-03-07
Author: Paul Gilbert
Maintainer: Paul Gilbert <pgilbert.ttv9z at ncf.ca>
License: GPL-2
Copyright: 1993-1996,1998-2011 Bank of Canada. 1997,2012 Paul Gilbert
URL: http://tsanalysis.r-forge.r-project.org/
NeedsCompilation: yes
Citation: dse citation info
Materials: NEWS
In views: Econometrics, Environmetrics, Finance, TimeSeries
CRAN checks: dse results

Downloads:

Reference manual: dse.pdf
Vignettes: dse Guide
Package source: dse_2013.3-2.tar.gz
Windows binaries: r-devel: dse_2013.3-2.zip, r-release: dse_2013.3-2.zip, r-oldrel: dse_2013.3-2.zip
OS X Snow Leopard binaries: r-release: dse_2013.3-2.tgz, r-oldrel: dse_2013.3-2.tgz
OS X Mavericks binaries: r-release: dse_2013.3-2.tgz
Old sources: dse archive

Reverse dependencies:

Reverse depends: dse1, EvalEst, SINGLE, tsfa
Reverse suggests: caschrono, KFKSDS