The state space models toolbox for MATLAB

Journal of Statistical Software

Volumn 41, Issue 6, 2011, Pages 1-26

  Peng, Jyh Ying ^a   Aston, John A D ^b  

^a ACADEMIA SINICA   (Taiwan)

^b UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Arma model; Kalman filter; Software tools; State space methods; Tramo seats; Unobserved components

Indexed keywords

EID: 79961222099     PISSN: None     EISSN: 15487660     Source Type: Journal    
DOI: 10.18637/jss.v041.i06     Document Type: Article

References (16)

1. Anderson E, Bai Z, Bischof C, Blackford S, Demmel J, Dongarra J, Du Croz J, Greenbaum A, Hammarling S, McKenney A, Sorensen D (1999). LAPACK Users' Guide. 3rd edition. Society for Industrial and Applied Mathematics, Philadelphia, PA. ISBN 0-89871-447-8.
2. Aston JAD, Findley DF, McElroy TS, Wills KC, Martin DEK (2007). ''New ARIMA Models for Seasonal Time Series and their Application to Seasonal Adjustment and Forecasting.'' Research Report Series, US Census Bureau.
3. Bell WR (2011). ''REGCMPNT -A Fortran Program for Regression Models with ARIMA Component Errors. Journal of Statistical Software, 41(7), 1-23.URL http://www.jstatsoft.org/v41/i07/.
4. Commandeur JJF, Koopman SJ, Ooms M (2011). ''Statistical Software for State Space Methods. Journal of Statistical Software, 41(1), 1-18.URL http://www.jstatsoft.org/v41/i01/.
5. Durbin J, Koopman SJ (2001). Time Series Analysis by State Space Methods. Oxford University Press, Oxford.
6. Gómez V, Maravall A (2001a). ''Automatic Modeling Methods for Univariate Series. In D Peña, GC Tiao, RS Tsay (eds.), A Course in Time Series, chapter 7. John Wiley & Sons, New York.
7. Go ́mez V, Maravall A (2001b). ''Seasonal Adjustment and Signal Extraction in Economic Time Series. In D Pe~na, GC Tiao, RS Tsay (eds.), A Course in Time Series, chapter 8. John Wiley & Sons, New York.
8. Harvey AC (1989). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press, Cambridge.
9. Harvey AC, Durbin J (1986). ''The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling. Journal of the Royal Statistical Society A, 149, 187-227.
10. Harvey AC, Koopman SJ (2000). ''Signal Extraction and the Formulation of Unobserved Components Models. Econometrics Journal, 3, 84-107.
11. Hillmer SC, Tiao GC (1982). ''An ARIMA-Model-Based Approach to Seasonal Adjustment. Journal of the American Statistical Association, 77, 63-70.
12. Koopman SJ, Harvey AC, Doornik JA, Shephard N (2000). STAMP 6.0: Structural Time Series Analyser, Modeller and Predictor. Timberlake Consultants, London.
13. Makridakis S, Wheelwright SC, Hyndman RJ (1998). Forecasting: Methods and Applications. 3rd edition. John Wiley & Sons, New York.
14. Peng JY, Aston JAD (2007). State Space Models Manual. URL http://sourceforge.net/projects/ssmodels/.
15. Silverman BW (1985). ''Some Aspects of the Spline Smoothing Approach to Non-Parametric Regression Curve Fitting. Journal of the Royal Statistical Society B, 47, 1-52.
16. The MathWorks, Inc (2007). MATLAB -The Language of Technical Computing, Version 7.5. The MathWorks, Inc., Natick, Massachusetts. URL http://www.mathworks.com/products/matlab/.