Dynamic Systems Estimation (Time Series Package)


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Documentation for package ‘dse’ version 2020.2-1

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A B C D E F G H I L M N O P R S T W misc

dse-package Dynamic Systems Estimation - Multivariate Time Series Package

-- A --

addPlotRoots Add Model Roots to a plot
ARMA ARMA Model Constructor
as.TSdata Construct TSdata time series object

-- B --

balanceMittnik Balance a state space model
bestTSestModel Select Best Model
bft Estimate a TSmodel

-- C --

characteristicPoly Polynomial Utilities
checkBalance Check Balance of a TSmodel
checkBalance.ARMA Check Balance of a TSmodel
checkBalance.SS Check Balance of a TSmodel
checkBalance.TSestModel Check Balance of a TSmodel
checkBalanceMittnik Check Balance of a TSmodel
checkBalanceMittnik.ARMA Check Balance of a TSmodel
checkBalanceMittnik.SS Check Balance of a TSmodel
checkBalanceMittnik.TSestModel Check Balance of a TSmodel
checkConsistentDimensions Check Consistent Dimensions
checkConsistentDimensions.ARMA Check Consistent Dimensions
checkConsistentDimensions.default Check Consistent Dimensions
checkConsistentDimensions.SS Check Consistent Dimensions
checkConsistentDimensions.TSdata Check Consistent Dimensions
checkConsistentDimensions.TSestModel Check Consistent Dimensions
checkResiduals Autocorrelations Diagnostics
checkResiduals.default Autocorrelations Diagnostics
checkResiduals.TSdata Autocorrelations Diagnostics
checkResiduals.TSestModel Autocorrelations Diagnostics
checkScale Scale Methods for TS objects
checkScale.TSestModel Scale Methods for TS objects
checkScale.TSmodel Scale Methods for TS objects
coef.TSestModel Extract or set Model Parameters
coef.TSmodel Extract or set Model Parameters
coef<- Extract or set Model Parameters
coef<-.default Extract or set Model Parameters
combine Combine two objects.
combine.default Combine two objects.
combine.forecastCov Combine 2 Forecast Cov Objects
combine.forecastCovEstimatorsWRTdata Combine 2 Forecast Cov Objects
combine.forecastCovEstimatorsWRTtrue Combine 2 Forecast Cov Objects
combine.TSdata Combine series from two TSdata objects.
companionMatrix Polynomial Utilities

-- D --

dse Dynamic Systems Estimation - Multivariate Time Series Package
dse.Intro Dynamic Systems Estimation - Multivariate Time Series Package
DSEversion Print Version Information

-- E --

eg1.dat Four Time Series used in Gilbert (1993)
eg1.DSE.data Four Time Series used in Gilbert (1993)
eg1.DSE.data.diff Four Time Series used in Gilbert (1993)
egJofF.1dec93.data Eleven Time Series used in Gilbert (1995)
end.TSdata Specific Methods for tframed Data
end.TSestModel Specific Methods for tframed Data
endInput TSdata Periods
endInput.TSdata TSdata Periods
endInput.TSestModel TSdata Periods
endOutput TSdata Periods
endOutput.TSdata TSdata Periods
endOutput.TSestModel TSdata Periods
estBlackBox Estimate a TSmodel
estBlackBox1 Estimate a TSmodel
estBlackBox2 Estimate a TSmodel
estBlackBox3 Estimate a TSmodel
estBlackBox4 Estimate a TSmodel
estimateModels Estimate Models
estimatorsHorizonForecastsWRTdata Estimate models and forecast at given horizons
estMaxLik Maximum Likelihood Estimation
estMaxLik.TSdata Maximum Likelihood Estimation
estMaxLik.TSestModel Maximum Likelihood Estimation
estMaxLik.TSmodel Maximum Likelihood Estimation
estSSfromVARX Estimate a state space TSmodel using VAR estimation
estSSMittnik Estimate a State Space Model
estVARXar Estimate a VAR TSmodel
estVARXls Estimate a VAR TSmodel
estWtVariables Weighted Estimation
excludeForecastCov Filter Object to Remove Forecasts
extractforecastCov Extract Forecast Covariance
extractforecastCov.forecastCovEstimatorsFromModel Extract Forecast Covariance
extractforecastCov.forecastCovEstimatorsWRTdata Extract Forecast Covariance

-- F --

featherForecasts Multiple Horizon-Step Ahead Forecasts
featherForecasts.TSdata Multiple Horizon-Step Ahead Forecasts
featherForecasts.TSestModel Multiple Horizon-Step Ahead Forecasts
featherForecasts.TSmodel Multiple Horizon-Step Ahead Forecasts
fixConstants Fix TSmodel Coefficients (Parameters) to Constants
fixF Set SS Model F Matrix to Constants
forecast Forecast Multiple Steps Ahead
forecast.TSdata Forecast Multiple Steps Ahead
forecast.TSestModel Forecast Multiple Steps Ahead
forecast.TSmodel Forecast Multiple Steps Ahead
forecastCov Forecast covariance for different models
forecastCov.TSdata Forecast covariance for different models
forecastCov.TSestModel Forecast covariance for different models
forecastCov.TSmodel Forecast covariance for different models
forecastCovEstimatorsWRTdata Calculate Forecast Cov of Estimators WRT Data
forecastCovEstimatorsWRTtrue Compare Forecasts Cov Relative to True Model Output
forecastCovReductionsWRTtrue Forecast covariance for different models
forecastCovWRTtrue Compare Forecasts to True Model Output
forecasts Extract Forecasts
forecasts.featherForecasts Extract Forecasts
forecasts.forecast Extract Forecasts
forecasts.horizonForecasts Extract Forecasts
frequency.TSdata Specific Methods for tframed Data
frequency.TSestModel Specific Methods for tframed Data
frequencyInput TSdata Periods
frequencyInput.TSdata TSdata Periods
frequencyInput.TSestModel TSdata Periods
frequencyOutput TSdata Periods
frequencyOutput.TSdata TSdata Periods
frequencyOutput.TSestModel TSdata Periods

-- G --

gmap Basis Transformation of a Model.

-- H --

horizonForecasts Calculate forecasts at specified horizons
horizonForecasts.forecastCov Calculate forecasts at specified horizons
horizonForecasts.TSdata Calculate forecasts at specified horizons
horizonForecasts.TSestModel Calculate forecasts at specified horizons
horizonForecasts.TSmodel Calculate forecasts at specified horizons
horizonForecastsCompiled Calculate forecasts at specified horizons
horizonForecastsCompiled.ARMA Calculate forecasts at specified horizons
horizonForecastsCompiled.SS Calculate forecasts at specified horizons

-- I --

informationTests Tabulates selection criteria
informationTestsCalculations Calculate selection criteria
inputData TSdata Series
inputData.default TSdata Series
inputData.TSdata TSdata Series
inputData.TSestModel TSdata Series
inputData<- TSdata Series
inputData<-.default TSdata Series
inputData<-.TSdata TSdata Series
is.ARMA ARMA Model Constructor
is.estimatedModels Estimate Models
is.featherForecasts Multiple Horizon-Step Ahead Forecasts
is.forecast Forecast Multiple Steps Ahead
is.forecastCov Forecast covariance for different models
is.forecastCovEstimatorsWRTdata Calculate Forecast Cov of Estimators WRT Data
is.forecastCovEstimatorsWRTdata.subsets Check Inheritance
is.forecastCovEstimatorsWRTtrue Compare Forecasts Cov Relative to True Model Output
is.forecastCovWRTdata Compare Forecasts to True Model Output
is.horizonForecasts Calculate forecasts at specified horizons
is.innov.SS State Space Models
is.nonInnov.SS State Space Models
is.SS State Space Models
is.TSdata Construct TSdata time series object
is.TSestModel Estimated Time Series Model
is.TSmodel Time Series Models

-- L --

l Evaluate a TSmodel
l.ARMA Evaluate an ARMA TSmodel
l.SS Evaluate a state space TSmodel
l.TSdata Evaluate a TSmodel
l.TSestModel Evaluate a TSmodel

-- M --

markovParms Markov Parameters
McMillanDegree Calculate McMillan Degree
McMillanDegree.ARMA Calculate McMillan Degree
McMillanDegree.SS Calculate McMillan Degree
McMillanDegree.TSestModel Calculate McMillan Degree
minForecastCov Minimum Forecast Cov Models
minimumStartupLag Starting Periods Required
minimumStartupLag.ARMA Starting Periods Required
minimumStartupLag.SS Starting Periods Required
minimumStartupLag.TSestModel Starting Periods Required
MittnikReducedModels Reduced Models via Mittnik SVD balancing
MittnikReduction Balance and Reduce a Model
MittnikReduction.from.Hankel Balance and Reduce a Model

-- N --

nseries.featherForecasts Number of Series
nseriesInput Number of Series in in Input or Output
nseriesInput.ARMA Number of Series in in Input or Output
nseriesInput.default Number of Series in in Input or Output
nseriesInput.SS Number of Series in in Input or Output
nseriesInput.TSdata Number of Series in in Input or Output
nseriesInput.TSestModel Number of Series in in Input or Output
nseriesOutput Number of Series in in Input or Output
nseriesOutput.ARMA Number of Series in in Input or Output
nseriesOutput.default Number of Series in in Input or Output
nseriesOutput.SS Number of Series in in Input or Output
nseriesOutput.TSdata Number of Series in in Input or Output
nseriesOutput.TSestModel Number of Series in in Input or Output
nstates State Dimension of a State Space Model
nstates.ARMA State Dimension of a State Space Model
nstates.SS State Dimension of a State Space Model
nstates.TSestModel State Dimension of a State Space Model

-- O --

observability Calculate Model Observability Matrix
observability.ARMA Calculate Model Observability Matrix
observability.SS Calculate Model Observability Matrix
observability.TSestModel Calculate Model Observability Matrix
old.estVARXar Estimate a VAR TSmodel
outOfSample.forecastCovEstimatorsWRTdata Calculate Out-of-Sample Forecasts
outputData TSdata Series
outputData.default TSdata Series
outputData.TSdata TSdata Series
outputData.TSestModel TSdata Series
outputData<- TSdata Series
outputData<-.default TSdata Series
outputData<-.TSdata TSdata Series

-- P --

percentChange.TSdata Calculate percent change
percentChange.TSestModel Calculate percent change
permute Permute
phasePlots Calculate Phase Plots
plot.roots Plot Model Roots
polydet Polynomial Utilities
polyprod Polynomial Utilities
polyrootDet Polynomial Utilities
polysum Polynomial Utilities
polyvalue Polynomial Utilities
Portmanteau Calculate Portmanteau statistic
print.ARMA Display TSmodel Arrays
print.estimatedModels Print Specific Methods
print.forecastCov Print Specific Methods
print.forecastCovEstimatorsWRTdata.subsets Print Specific Methods
print.forecastCovEstimatorsWRTtrue Print Specific Methods
print.SS Display TSmodel Arrays
print.summary.ARMA Specific Methods for Summary
print.summary.estimatedModels Summary Specific Methods
print.summary.forecastCov Summary Specific Methods
print.summary.forecastCovEstimatorsWRTdata.subsets Summary Specific Methods
print.summary.forecastCovEstimatorsWRTtrue Summary Specific Methods
print.summary.SS Specific Methods for Summary
print.summary.TSdata Specific Methods for Summary
print.summary.TSestModel Specific Methods for Summary
print.TSdata Print Specific Methods
print.TSestModel Display TSmodel Arrays

-- R --

reachability Calculate Model Reachability Matrix
reachability.ARMA Calculate Model Reachability Matrix
reachability.SS Calculate Model Reachability Matrix
reachability.TSestModel Calculate Model Reachability Matrix
residualStats Calculate Residuals Statistics and Likelihood
Riccati Riccati Equation
roots Calculate Model Roots
roots.ARMA Calculate Model Roots
roots.estimatedModels Roots Specific Methods
roots.forecastCovEstimatorsWRTtrue Roots Specific Methods
roots.SS Calculate Model Roots
roots.TSestModel Calculate Model Roots

-- S --

scale.ARMA Scale Methods for TS objects
scale.innov Scale Methods for TS objects
scale.nonInnov Scale Methods for TS objects
scale.TSdata Scale Methods for TS objects
scale.TSestModel Scale Methods for TS objects
selectForecastCov Select Forecast Covariances Meeting Criteria
seriesNames.TSdata Series Names Specific Methods
seriesNames.TSestModel Series Names Specific Methods
seriesNames.TSmodel Series Names Specific Methods
seriesNames<-.TSdata Series Names Specific Methods
seriesNames<-.TSestModel Series Names Specific Methods
seriesNames<-.TSmodel Series Names Specific Methods
seriesNamesInput TSdata Series Names
seriesNamesInput.featherForecasts TS Input and Output Specific Methods
seriesNamesInput.forecast TS Input and Output Specific Methods
seriesNamesInput.TSdata TSdata Series Names
seriesNamesInput.TSestModel TSdata Series Names
seriesNamesInput.TSmodel TSdata Series Names
seriesNamesInput<- TSdata Series Names
seriesNamesInput<-.TSdata TSdata Series Names
seriesNamesInput<-.TSestModel TSdata Series Names
seriesNamesInput<-.TSmodel TSdata Series Names
seriesNamesOutput TSdata Series Names
seriesNamesOutput.featherForecasts TS Input and Output Specific Methods
seriesNamesOutput.forecast TS Input and Output Specific Methods
seriesNamesOutput.TSdata TSdata Series Names
seriesNamesOutput.TSestModel TSdata Series Names
seriesNamesOutput.TSmodel TSdata Series Names
seriesNamesOutput<- TSdata Series Names
seriesNamesOutput<-.TSdata TSdata Series Names
seriesNamesOutput<-.TSestModel TSdata Series Names
seriesNamesOutput<-.TSmodel TSdata Series Names
shockDecomposition Shock Decomposition
simulate Simulate a TSmodel
simulate.ARMA Simulate a TSmodel
simulate.SS Simulate a TSmodel
simulate.TSestModel Simulate a TSmodel
smoother Evaluate a smoother with a TSmodel
smoother.nonInnov Evaluate a smoother with a TSmodel
smoother.TSestModel Evaluate a smoother with a TSmodel
smoother.TSmodel Evaluate a smoother with a TSmodel
SS State Space Models
stability Calculate Stability of a TSmodel
stability.ARMA Calculate Stability of a TSmodel
stability.roots Calculate Stability of a TSmodel
stability.TSestModel Calculate Stability of a TSmodel
stability.TSmodel Calculate Stability of a TSmodel
start.TSdata Specific Methods for tframed Data
start.TSestModel Specific Methods for tframed Data
startInput TSdata Periods
startInput.TSdata TSdata Periods
startInput.TSestModel TSdata Periods
startOutput TSdata Periods
startOutput.TSdata TSdata Periods
startOutput.TSestModel TSdata Periods
startShift Starting Periods Required
state Extract State
stripMine Select a Data Subset and Model
summary.ARMA Specific Methods for Summary
summary.estimatedModels Summary Specific Methods
summary.forecastCov Summary Specific Methods
summary.forecastCovEstimatorsWRTdata.subsets Summary Specific Methods
summary.forecastCovEstimatorsWRTtrue Summary Specific Methods
summary.SS Specific Methods for Summary
summary.TSdata Specific Methods for Summary
summary.TSestModel Specific Methods for Summary
sumSqerror Calculate sum of squared prediction errors
SVDbalanceMittnik Balance a state space model

-- T --

tbind.TSdata Specific Methods for tframed Data
testEqual.ARMA Specific Methods for Testing Equality
testEqual.estimatedModels Specific Methods for Testing Equality
testEqual.forecast Specific Methods for Testing Equality
testEqual.forecastCov Specific Methods for Testing Equality
testEqual.horizonForecasts Specific Methods for Testing Equality
testEqual.SS Specific Methods for Testing Equality
testEqual.TSdata Specific Methods for Testing Equality
testEqual.TSestModel Specific Methods for Testing Equality
testEqual.TSmodel Specific Methods for Testing Equality
tfplot.featherForecasts Specific Methods for tfplot
tfplot.forecast Specific Methods for tfplot
tfplot.forecastCov Plots of Forecast Variance
tfplot.forecastCovEstimatorsWRTdata Plots of Forecast Variance
tfplot.horizonForecasts Specific Methods for tfplot
tfplot.multiModelHorizonForecasts Specific Methods for tfplot
tfplot.TSdata Tfplot Specific Methods
tfplot.TSestModel Tfplot Specific Methods
tframe<-.TSdata Specific Methods for tframed Data
tframed.TSdata Specific Methods for tframed Data
tfwindow.TSdata Specific Methods for tframed Data
toARMA Convert to an ARMA Model
toARMA.ARMA Convert to an ARMA Model
toARMA.SS Convert to an ARMA Model
toARMA.TSestModel Convert to an ARMA Model
Tobs.TSdata Specific Methods for tframed Data
Tobs.TSestModel Specific Methods for tframed Data
TobsInput TSdata Periods
TobsInput.TSdata TSdata Periods
TobsInput.TSestModel TSdata Periods
TobsOutput TSdata Periods
TobsOutput.TSdata TSdata Periods
TobsOutput.TSestModel TSdata Periods
toSS Convert to State Space Model
toSS.ARMA Convert to State Space Model
toSS.SS Convert to State Space Model
toSS.TSestModel Convert to State Space Model
toSSaugment Convert to State Space Model
toSSaugment.ARMA Convert to State Space Model
toSSaugment.TSestModel Convert to State Space Model
toSSChol Convert to Non-Innovation State Space Model
toSSChol.TSestModel Convert to Non-Innovation State Space Model
toSSChol.TSmodel Convert to Non-Innovation State Space Model
toSSinnov Convert to State Space Innovations Model
toSSnested Convert to State Space Model
toSSnested.ARMA Convert to State Space Model
toSSnested.SS Convert to State Space Model
toSSnested.TSestModel Convert to State Space Model
toSSOform Convert to Oform
toSSOform.TSestModel Convert to Oform
toSSOform.TSmodel Convert to Oform
totalForecastCov Sum covariance of forecasts across all series
trimNA.TSdata Specific Methods for tframed Data
TSdata Construct TSdata time series object
TSdata.default Construct TSdata time series object
TSdata.forecastCov TS Extractor Specific Methods
TSdata.object time series data object
TSdata.TSdata Construct TSdata time series object
TSdata.TSestModel Construct TSdata time series object
TSestModel Estimated Time Series Model
TSestModel.object Estimated Time Series Model
TSestModel.TSestModel Estimated Time Series Model
TSmodel Time Series Models
TSmodel.forecastCov TS Extractor Specific Methods
TSmodel.TSestModel Time Series Models
TSmodel.TSmodel Time Series Models

-- W --

window.TSdata Specific Methods for tframed Data

-- misc --

.DSEflags Flags to Indicate Use of Compiled Code
00.dse.Intro Dynamic Systems Estimation - Multivariate Time Series Package