| SSsimple-package {SSsimple} | R Documentation |
Simple State Space Models
Description
Simulate, solve (estimate), fit state space models
Details
| Package: | SSsimple |
| Type: | Package |
| Version: | 0.6.6 |
| Date: | 2019-12-06 |
| License: | GPL (>= 2) |
| LazyLoad: | yes |
If you wish to parameterize a state space model given only data, Z, use the function SS.ID. If you wish to simulate data, use SS.sim or SS.sim.tv. If you have data, know the model parameters, and wish to solve the lowest L2 estimate, use SS.solve or SS.solve.tv.
The two functions, H.omega.sincos and H.omega.cos.2D, provide a means of introducing response curvature over a domain (probably space) through the common sine bases expansion.
Finally, SS.stst and SS.stst.tv, attempt to find the time at which a system acheives a “steady-state.”
The system of interest is defined as
b(t) = F b(t-1) + n(t) , n(t) ~ N[0, Q]
z'(t) = H b(t) + e(t) , e(t) ~ N[0, R]
Functions whose names end in “.tv” provide for the usage of time-varying F, H, Q, R.
Author(s)
Dave Zes
Maintainer: Dave Zes <zesdave@gmail.com>