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arXiv · 0706.3443

The SSM Toolbox for Matlab

Jyh-Ying Peng·John A. D. Aston
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Abstract

State Space Models (SSM) is a MATLAB 7.0 software toolbox for doing time series analysis by state space methods. The software features fully interactive construction and combination of models, with support for univariate and multivariate models, complex time-varying (dynamic) models, non-Gaussian models, and various standard models such as ARIMA and structural time-series models. The software includes standard functions for Kalman filtering and smoothing, simulation smoothing, likelihood evaluation, parameter estimation, signal extraction and forecasting, with incorporation of exact initialization for filters and smoothers, and support for missing observations and multiple time series input with common analysis structure. The software also includes implementations of TRAMO model selection and Hillmer-Tiao decomposition for ARIMA models. The software will provide a general toolbox for doing time series analysis on the MATLAB platform, allowing users to take advantage of its readily available graph plotting and general matrix computation capabilities.

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Jyh-Ying Peng, John A. D. Aston. 2007-06-23. The SSM Toolbox for Matlab. https://arxiv.org/abs/0706.3443

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