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State Space Modeling UsingSsfPackinS+FinMetrics3.0
2011
Journal of Statistical Software
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This paper presents two illustrations of state space modeling in S-PLUS using the Ssf-Pack 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.
doi:10.18637/jss.v041.i05
fatcat:ud2xevdhmrdgna2e2ewtll764y