This repository provides code in R reproducing examples of the states space models presented in book "An Introduction to State Space Time Series Analysis" by J.J.F. Commandeur and S.J. Koopman.
econometrics forecasting trend slope series-analysis maximum-likelihood ssm kalman-filter time-series-analysis state-space-models kfas koopman state-disturbance-variance autocorrelations
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Updated
Sep 4, 2020 - R