• E4

  • Referenced in 13 articles [sw17878]
  • MATLAB Toolbox for time series modeling. Its name, E4, refers to the Spanish: Estimación ... Estados, meaning ”State-Space Estimation of Econometric Models.” E4 uses state-space methods to achieve ... series models, such as VARMAX, structural econometric models or single-output transfer functions. These models ... Alexandre Trindade: ”State-Space Methods for Time Series Analysis: Theory, Applications and Software.” Chapman...
  • ITSM2000

  • Referenced in 19 articles [sw16941]
  • website. The logic and tools of time series model-building are developed in detail. Numerous ... used in conjunction with other time series packages such as those included ... ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral ... edition: – A chapter devoted to Financial Time Series – Introductions to Brownian motion, Lévy processes...
  • CausalImpact

  • Referenced in 16 articles [sw12397]
  • this difficulty using a structural Bayesian time-series model to estimate how the response metric...
  • WaveThresh4

  • Referenced in 42 articles [sw04496]
  • data, locally stationary wavelet time series, nonstationary multiscale transfer function modeling, density estimation...
  • tsDyn

  • Referenced in 9 articles [sw12355]
  • tsDyn: Nonlinear Time Series Models with Regime Switching. Implements nonlinear autoregressive (AR) time series models...
  • imputeTS

  • Referenced in 11 articles [sw20442]
  • Seasonal Decomposition’, ’Kalman Smoothing on Structural Time Series models’, ’Kalman Smoothing on ARIMA models...
  • RMetrics

  • Referenced in 35 articles [sw09991]
  • exploratory data analysis, statistical modelling and rapid model prototyping. The R/Rmetrics packages are embedded ... finance. Rmetrics covers Time Series Econometrics, Hypothesis Testing, GARCH Modelling and Volatility Forecasting, Extreme Value...
  • MTS

  • Referenced in 7 articles [sw15485]
  • series and estimating multivariate volatility models. It also handles factor models, constrained factor models, asymptotic ... models, including vector AR models, vector MA models, vector ARMA models, seasonal vector ARMA models ... series errors, augmented VAR models, and Error-correction VAR models for co-integrated time series ... models, dynamic conditional correlation (DCC) models, copula-based volatility models, and low-dimensional BEKK models...
  • pomp

  • Referenced in 47 articles [sw10664]
  • implementing POMP models, simulating them, and fitting them to time series data by a variety...
  • SAS/ETS

  • Referenced in 41 articles [sw24826]
  • SAS/ETS® Software: Model, forecast and simulate processes with econometric and time series analysis. Economic...
  • animation

  • Referenced in 11 articles [sw11112]
  • statistics, nonparametric statistics, sampling survey, linear models, time series, computational statistics, data mining and machine...
  • tscount

  • Referenced in 14 articles [sw23277]
  • tscount: Analysis of Count Time Series. Likelihood-based methods for model fitting and assessment, prediction ... intervention analysis of count time series following generalized linear models are provided. Models with...
  • fractal

  • Referenced in 9 articles [sw23367]
  • package fractal: A Fractal Time Series Modeling and Analysis Package. Stochastic fractal and deterministic chaotic...
  • sandwich

  • Referenced in 36 articles [sw04486]
  • Matrix Estimators , Model-robust standard error estimators for cross-sectional, time series and longitudinal data...
  • funHDDC

  • Referenced in 26 articles [sw11130]
  • group-specific functional subspaces: Model-based clustering of time series in group-specific functional subspacesThis ... based on a functional latent mixture model which fits the functional data in group-specific...
  • dse

  • Referenced in 8 articles [sw24866]
  • Tools for multivariate, linear, time-invariant, time series models. This includes ARMA and state-space...
  • SLEX

  • Referenced in 18 articles [sw08605]
  • Classification of Nonstationary Time Series Using the SLEX Model. Statistical discrimination for nonstationary random processes ... extract local features of the time series, is consistent, and is computationally efficient. Here...
  • factorcpt

  • Referenced in 12 articles [sw18260]
  • comprehensive treatment of high-dimensional time series factor models with multiple change-points in their ... order structure of a high-dimensional time series, into the (relatively easier) problem of change...
  • TSM

  • Referenced in 5 articles [sw09504]
  • Time Series Modelling. TSM v4.43 is a comprehensive package for linear and nonlinear time series...
  • QuantGAN

  • Referenced in 5 articles [sw42448]
  • Quant GANs: Deep Generation of Financial Time Series. Modeling financial time series by stochastic processes ... introduce Quant GANs, a data-driven model which is inspired by the recent success...