dse: Dynamic Systems Estimation (Time Series Package)

Tools for multivariate, linear, time-invariant, time series models. This 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: 2020.2-1
Depends: R (≥ 2.5.0), tfplot
Imports: tframe (≥ 2007.5-3), stats, utils, graphics, grDevices, setRNG (≥ 2004.4-1)
Published: 2020-02-26
Author: Paul Gilbert
Maintainer: Paul Gilbert <pgilbert.ttv9z at ncf.ca>
License: GPL-2
Copyright: 1993-1996,1998-2011 Bank of Canada. 1997,2012-2014 Paul Gilbert
URL: http://tsanalysis.r-forge.r-project.org/
NeedsCompilation: yes
Citation: dse citation info
Materials: NEWS
In views: Environmetrics, Finance, TimeSeries
CRAN checks: dse results


Reference manual: dse.pdf
Vignettes: dse Guide


Package source: dse_2020.2-1.tar.gz
Windows binaries: r-devel: dse_2020.2-1.zip, r-release: dse_2020.2-1.zip, r-oldrel: dse_2020.2-1.zip
macOS binaries: r-release (arm64): dse_2020.2-1.tgz, r-oldrel (arm64): dse_2020.2-1.tgz, r-release (x86_64): dse_2020.2-1.tgz
Old sources: dse archive

Reverse dependencies:

Reverse depends: EvalEst
Reverse suggests: caschrono


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