Results 11 to 20 of about 1,023,856 (306)

State Space Methods in gretl

Journal of Statistical Software, 2011
gretl is a general-purpose econometric package, whose most important characteristic is being free software. This ensures that its source code is freely available under the general public license (GPL) and, like most GPL software, that it can be used free
Riccardo Lucchetti
doaj   +1 more source

State Space Methods in Ox/SsfPack

Journal of Statistical Software, 2011
The use of state space models and their inference is illustrated using the package SsfPack for Ox. After a rather long introduction that explains the use of SsfPack and many of its functions, four case-studies illustrate the practical implementation of ...
Matteo M. Pelagatti
doaj   +1 more source

The STAMP Software for State Space Models

Journal of Statistical Software, 2011
This paper reviews the use of STAMP (Structural Time Series Analyser, Modeler and Predictor) for modeling time series data using state-space methods with unobserved components.
Roy Mendelssohn
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Fitting State Space Models with EViews

Journal of Statistical Software, 2011
This paper demonstrates how state space models can be fitted in EViews. We first briefly introduce EViews as an econometric software package. Next we fit a local level model to the Nile data.
Filip A. M. Van den Bossche
doaj   +1 more source

State Space Methods inRATS [PDF]

Journal of Statistical Software, 2011
This paper uses several examples to show how the econometrics program RATS can be used to analyze state space models. It demonstrates Kalman filtering and smoothing, estimation of hyperparameters, unconditional and conditional simulation. It also provides a more complicated example where a dynamic simultaneous equations model is transformed into a ...
Doan, Thomas, Thomas Doan
openaire   +5 more sources

State Space Methods in Stata

Journal of Statistical Software, 2011
We illustrate how to estimate parameters of linear state-space models using the Stata program sspace. We provide examples of how to use sspace to estimate the parameters of unobserved-component models, vector autoregressive moving-average models, and ...
David M. Drukker, Richard B. Gates
doaj   +1 more source

Catalytic cracking models developed for predictive control purposes [PDF]

Modeling, Identification and Control, 1993
The paper deals with state-space modeling issues in the context of model-predictive control, with application to catalytic cracking. Emphasis is placed on model establishment, verification and online adjustment.
Dag Ljungqvist, Stig Strand, Jens G. Balchen   +2 more
doaj   +1 more source

Combined Deterministic and Stochastic System Identification and Realization: DSR - A Subspace Approach Based on Observations [PDF]

Modeling, Identification and Control, 1996
A numerically stable and general algorithm for identification and realization of a complete dynamic linear state space model, including the system order, for combined deterministic and stochastic systems from time series is presented.
David Di Ruscio
doaj   +1 more source

Markov chain Monte Carlo methods for state-space models with point process observations [PDF]

, 2012
This letter considers how a number of modern Markov chain Monte Carlo (MCMC) methods can be applied for parameter estimation and inference in state-space models with point process observations.
Niranjan, Mahesan, Girolami, Mark, Yuan, Ke   +2 more
core   +1 more source

Recursive prediction error methods for online estimation in nonlinear state-space models [PDF]

Modeling, Identification and Control, 1994
Several recursive algorithms for online, combined state and parameter estimation in nonlinear state-space models are discussed in this paper. Well-known algorithms such as the extended Kalman filter and alternative formulations of the recursive ...
Dag Ljungquist, Jens G. Balchen
doaj   +1 more source