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

ITSM2000
 Referenced in 19 articles
[sw16941]
 website. The logic and tools of time series modelbuilding are developed in detail. Numerous ... used in conjunction with other time series packages such as those included ... ARIMA processes, multivariate time series and statespace 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 timeseries 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 Errorcorrection VAR models for cointegrated time series ... models, dynamic conditional correlation (DCC) models, copulabased volatility models, and lowdimensional 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. Likelihoodbased 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 , Modelrobust standard error estimators for crosssectional, time series and longitudinal data...

funHDDC
 Referenced in 26 articles
[sw11130]
 groupspecific functional subspaces: Modelbased clustering of time series in groupspecific functional subspacesThis ... based on a functional latent mixture model which fits the functional data in groupspecific...

dse
 Referenced in 8 articles
[sw24866]
 Tools for multivariate, linear, timeinvariant, time series models. This includes ARMA and statespace...

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 highdimensional time series factor models with multiple changepoints in their ... order structure of a highdimensional 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 datadriven model which is inspired by the recent success...