State Space Modeling Using SsfPack in S+FinMetrics 3.0

Eric W. Zivot

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Abstract

This paper presents two illustrations of state space modeling in S-PLUS using the SsfPack 3.0 routines implemented in S+FinMetrics 3.0. The state space modeling functions in S+FinMetrics/SsfPack are extremely flexible and powerful and can be used for a wide variety of linear Gaussian state space models and for some non-linear and non-Gaussian state space models.

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Paper S-PLUS example code from the paper Data (in CSV format) for the examples
Published:
May 12, 2011
DOI:
10.18637/jss.v041.i05