Package: statespacer 0.5.0

statespacer: State Space Modelling in 'R'

A tool that makes estimating models in state space form a breeze. See "Time Series Analysis by State Space Methods" by Durbin and Koopman (2012, ISBN: 978-0-19-964117-8) for details about the algorithms implemented.

Authors:Dylan Beijers [aut, cre]

statespacer_0.5.0.tar.gz
statespacer_0.5.0.zip(r-4.7)statespacer_0.5.0.zip(r-4.6)statespacer_0.5.0.zip(r-4.5)
statespacer_0.5.0.tgz(r-4.6-x86_64)statespacer_0.5.0.tgz(r-4.6-arm64)statespacer_0.5.0.tgz(r-4.5-x86_64)statespacer_0.5.0.tgz(r-4.5-arm64)
statespacer_0.5.0.tar.gz(r-4.7-arm64)statespacer_0.5.0.tar.gz(r-4.7-x86_64)statespacer_0.5.0.tar.gz(r-4.6-arm64)statespacer_0.5.0.tar.gz(r-4.6-x86_64)
statespacer_0.5.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
statespacer/json (API)

# Install 'statespacer' in R:
install.packages('statespacer', repos = c('https://dylanb95.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/dylanb95/statespacer/issues

Pkgdown/docs site:https://dylanb95.github.io

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:

On CRAN:

Conda:

cppdynamic-linear-modelforecastinggaussian-modelskalman-filtermathematical-modellingstate-spacestatistical-inferencestatistical-modelsstructural-analysistime-seriesopenblascppopenmp

6.36 score 17 stars 54 scripts 369 downloads 5 exports 4 dependencies

Last updated from:2e7affcece. Checks:13 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK150
linux-devel-x86_64OK116
source / vignettesOK264
linux-release-arm64OK192
linux-release-x86_64OK154
macos-release-arm64OK159
macos-release-x86_64OK400
macos-oldrel-arm64OK174
macos-oldrel-x86_64OK444
windows-develOK188
windows-releaseOK141
windows-oldrelOK158
wasm-releaseOK111

Exports:BlockMatrixCholeskyCoeffARMASimSmootherstatespacer

Dependencies:rbibutilsRcppRcppArmadilloRdpack

Fitting ARIMA models with statespacer
ARIMA modelling of the yearly sunspot data | SARIMA modelling of the airline data | References
Rendered fromboxjenkins.Rmdusingknitr::rmarkdown

Last update: 2023-01-27
Started: 2020-04-28

Specify it yourself!
Dynamic Nelson-Siegel model | Fitting the model | References
Rendered fromselfspec.Rmdusingknitr::rmarkdown

Last update: 2023-01-27
Started: 2020-05-05

Dictionary of statespacer
The general linear Gaussian state space model | The object as returned by statespacer | function_call | system_matrices | predicted | filtered | smoothed | diagnostics | optim | loglik_fun | standard_errors | Order of parameter input | References
Rendered fromdictionary.Rmdusingknitr::rmarkdown

Last update: 2020-11-01
Started: 2020-04-24

Introduction to statespacer
References
Rendered fromintro.Rmdusingknitr::rmarkdown

Last update: 2020-09-15
Started: 2020-04-23

statespacer applied to UK Road Deaths
Data preparation | Univariate model with deterministic level and seasonal | Univariate model with stochastic level and seasonal | Bivariate model of front and rear passengers | References
Rendered fromseatbelt.Rmdusingknitr::rmarkdown

Last update: 2020-06-29
Started: 2020-04-25