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