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The state space models toolbox for MATLAB

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Peng, Jyh-Ying and Aston, John A. D.. (2011) The state space models toolbox for MATLAB. Journal of Statistical Software, Vol.41 (No.6). pp. 1-26. ISSN 1548-7660

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Official URL: http://www.jstatsoft.org/

Abstract

State Space Models (SSM) is a MATLAB toolbox for time series analysis by state space methods. The software features fully interactive construction and combination of models, with support for univariate and multivariate models, complex time-varying (dynamic) models, non-Gaussian models, and various standard models such as ARIMA and structural time-series models. The software includes standard functions for Kalman filtering and smoothing, simulation smoothing, likelihood evaluation, parameter estimation, signal extraction and forecasting, with incorporation of exact initialization for filters and smoothers, and support for missing observations and multiple time series input with common analysis structure. The software also includes implementations of TRAMO model selection and Hillmer-Tiao decomposition for ARIMA models. The software will provide a general toolbox for time series analysis on the MATLAB platform, allowing users to take advantage of its readily available graph plotting and general matrix computation capabilities.

Item Type:

Journal Article

Subjects:

Q Science > QA Mathematics

Divisions:

Faculty of Science > Statistics

Library of Congress Subject Headings (LCSH):

MATLAB, State-space methods -- Computer programs, Time-series analysis -- Computer programs

Journal or Publication Title:

Journal of Statistical Software

Publisher:

University of California, Los Angeles

ISSN:

1548-7660

Official Date:

May 2011

Dates:

Date	Event
May 2011	Published

Volume:

Vol.41

Number:

No.6

Page Range:

pp. 1-26

Status:

Peer Reviewed

Publication Status:

Published

Access rights to Published version:

Restricted or Subscription Access

Funder:

Guo jia ke xue wei yuan hui [National Science Council (Taiwan)], Engineering and Physical Sciences Research Council (EPSRC), Higher Education Funding Council for England (HEFCE)

Grant number:

94-2118-M-001-014 (NSC), 95-2118-M-001-003 (NSC), EP/H016856/1 (EPSRC)

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