dse

Documentation for package ‘dse’ version 2020.2-1

ARMA Model Constructor

Flags to Indicate Use of Compiled Code

DSE Utilities

Print Version Information

Calculate McMillan Degree

Reduced Models via Mittnik SVD balancing

Balance and Reduce a Model

Polynomial Utilities

Calculate Portmanteau statistic

Riccati Equation

State Space Models

Construct TSdata time series object

TS Extractor Specific Methods

time series data object

Estimated Time Series Model

Time Series Models

Calculate the acf for an object

Add Model Roots to a plot

Balance a state space model

Select Best Model

Check Balance of a TSmodel

Check Balance of a TSmodel

Check Consistent Dimensions

Autocorrelations Diagnostics

Extract or set Model Parameters

Combine two objects.

Combine series from two TSdata objects.

Combine 2 Forecast Cov Objects

Dynamic Systems Estimation - Multivariate Time Series Package

Four Time Series used in Gilbert (1993)

Eleven Time Series used in Gilbert (1995)

Estimate a TSmodel

Estimate a TSmodel

Estimate a TSmodel

Estimate a TSmodel

Estimate a TSmodel

Maximum Likelihood Estimation

Estimate a State Space Model

Estimate a state space TSmodel using VAR estimation

Estimate a VAR TSmodel

Estimate a VAR TSmodel

Weighted Estimation

Estimate Models

Estimate models and forecast at given horizons

Filter Object to Remove Forecasts

Extract Forecast Covariance

Multiple Horizon-Step Ahead Forecasts

Fix TSmodel Coefficients (Parameters) to Constants

Set SS Model F Matrix to Constants

Forecast Multiple Steps Ahead

Forecast covariance for different models

Forecast covariance for different models - internal

Calculate Forecast Cov of Estimators WRT Data

Compare Forecasts Cov Relative to True Model Output

Forecast covariance for different models

Compare Forecasts to True Model Output

Extract Forecasts

Basis Transformation of a Model.

Calculate forecasts at specified horizons

Calculate forecasts at specified horizons

Tabulates selection criteria

Calculate selection criteria

TSdata Series

Check Inheritance

Evaluate a TSmodel

Evaluate an ARMA TSmodel

Evaluate a state space TSmodel

Generate a random time series

Markov Parameters

Minimum Forecast Cov Models

Starting Periods Required

Number of Series

Number of Series in in Input or Output

State Dimension of a State Space Model

Calculate Model Observability Matrix

Calculate Out-of-Sample Forecasts

Calculate percent change

Specific Methods for tframed Data

TSdata Periods

Permute

Calculate Phase Plots

Plot Model Roots

Print Specific Methods

Display TSmodel Arrays

Print Specific Methods

Calculate Model Reachability Matrix

Calculate Residuals Statistics and Likelihood

Calculate the residuals for an object

Calculate Model Roots

Roots Specific Methods

Scale Methods for TS objects

Select Forecast Covariances Meeting Criteria

Series Names Specific Methods

TSdata Series Names

TS Input and Output Specific Methods

Set TSmodel Array Information

Set TSmodel Parameter Information

Shock Decomposition

Simulate a TSmodel

Evaluate a smoother with a TSmodel

Calculate Stability of a TSmodel

Extract State

Select a Data Subset and Model

Calculate sum of squared prediction errors

Specific Methods for Summary

Summary Specific Methods

Specific Methods for Testing Equality

Specific Methods for Testing Equality

Tfplot Specific Methods

Specific Methods for tfplot

Plots of Forecast Variance

Specific Methods for tframed Data

Convert to an ARMA Model

Convert to State Space Model

Convert to Non-Innovation State Space Model

Convert to Oform

Convert to State Space Innovations Model

Sum covariance of forecasts across all series