Dynamic Systems Estimation (Time Series Package)
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Documentation for package ‘dse’ version 2020.2-1
- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Code demos. Use demo() to run them.
- Package NEWS.
Help Pages
A B C D E F G H I L M N O P R S T W misc
| dse-package | Dynamic Systems Estimation - Multivariate Time Series Package |
-- A --
| addPlotRoots | Add Model Roots to a plot |
| ARMA | ARMA Model Constructor |
| as.TSdata | Construct TSdata time series object |
-- B --
| balanceMittnik | Balance a state space model |
| bestTSestModel | Select Best Model |
| bft | Estimate a TSmodel |
-- C --
| characteristicPoly | Polynomial Utilities |
| checkBalance | Check Balance of a TSmodel |
| checkBalance.ARMA | Check Balance of a TSmodel |
| checkBalance.SS | Check Balance of a TSmodel |
| checkBalance.TSestModel | Check Balance of a TSmodel |
| checkBalanceMittnik | Check Balance of a TSmodel |
| checkBalanceMittnik.ARMA | Check Balance of a TSmodel |
| checkBalanceMittnik.SS | Check Balance of a TSmodel |
| checkBalanceMittnik.TSestModel | Check Balance of a TSmodel |
| checkConsistentDimensions | Check Consistent Dimensions |
| checkConsistentDimensions.ARMA | Check Consistent Dimensions |
| checkConsistentDimensions.default | Check Consistent Dimensions |
| checkConsistentDimensions.SS | Check Consistent Dimensions |
| checkConsistentDimensions.TSdata | Check Consistent Dimensions |
| checkConsistentDimensions.TSestModel | Check Consistent Dimensions |
| checkResiduals | Autocorrelations Diagnostics |
| checkResiduals.default | Autocorrelations Diagnostics |
| checkResiduals.TSdata | Autocorrelations Diagnostics |
| checkResiduals.TSestModel | Autocorrelations Diagnostics |
| checkScale | Scale Methods for TS objects |
| checkScale.TSestModel | Scale Methods for TS objects |
| checkScale.TSmodel | Scale Methods for TS objects |
| coef.TSestModel | Extract or set Model Parameters |
| coef.TSmodel | Extract or set Model Parameters |
| coef<- | Extract or set Model Parameters |
| coef<-.default | Extract or set Model Parameters |
| combine | Combine two objects. |
| combine.default | Combine two objects. |
| combine.forecastCov | Combine 2 Forecast Cov Objects |
| combine.forecastCovEstimatorsWRTdata | Combine 2 Forecast Cov Objects |
| combine.forecastCovEstimatorsWRTtrue | Combine 2 Forecast Cov Objects |
| combine.TSdata | Combine series from two TSdata objects. |
| companionMatrix | Polynomial Utilities |
-- D --
| dse | Dynamic Systems Estimation - Multivariate Time Series Package |
| dse.Intro | Dynamic Systems Estimation - Multivariate Time Series Package |
| DSEversion | Print Version Information |
-- E --
| eg1.dat | Four Time Series used in Gilbert (1993) |
| eg1.DSE.data | Four Time Series used in Gilbert (1993) |
| eg1.DSE.data.diff | Four Time Series used in Gilbert (1993) |
| egJofF.1dec93.data | Eleven Time Series used in Gilbert (1995) |
| end.TSdata | Specific Methods for tframed Data |
| end.TSestModel | Specific Methods for tframed Data |
| endInput | TSdata Periods |
| endInput.TSdata | TSdata Periods |
| endInput.TSestModel | TSdata Periods |
| endOutput | TSdata Periods |
| endOutput.TSdata | TSdata Periods |
| endOutput.TSestModel | TSdata Periods |
| estBlackBox | Estimate a TSmodel |
| estBlackBox1 | Estimate a TSmodel |
| estBlackBox2 | Estimate a TSmodel |
| estBlackBox3 | Estimate a TSmodel |
| estBlackBox4 | Estimate a TSmodel |
| estimateModels | Estimate Models |
| estimatorsHorizonForecastsWRTdata | Estimate models and forecast at given horizons |
| estMaxLik | Maximum Likelihood Estimation |
| estMaxLik.TSdata | Maximum Likelihood Estimation |
| estMaxLik.TSestModel | Maximum Likelihood Estimation |
| estMaxLik.TSmodel | Maximum Likelihood Estimation |
| estSSfromVARX | Estimate a state space TSmodel using VAR estimation |
| estSSMittnik | Estimate a State Space Model |
| estVARXar | Estimate a VAR TSmodel |
| estVARXls | Estimate a VAR TSmodel |
| estWtVariables | Weighted Estimation |
| excludeForecastCov | Filter Object to Remove Forecasts |
| extractforecastCov | Extract Forecast Covariance |
| extractforecastCov.forecastCovEstimatorsFromModel | Extract Forecast Covariance |
| extractforecastCov.forecastCovEstimatorsWRTdata | Extract Forecast Covariance |
-- F --
| featherForecasts | Multiple Horizon-Step Ahead Forecasts |
| featherForecasts.TSdata | Multiple Horizon-Step Ahead Forecasts |
| featherForecasts.TSestModel | Multiple Horizon-Step Ahead Forecasts |
| featherForecasts.TSmodel | Multiple Horizon-Step Ahead Forecasts |
| fixConstants | Fix TSmodel Coefficients (Parameters) to Constants |
| fixF | Set SS Model F Matrix to Constants |
| forecast | Forecast Multiple Steps Ahead |
| forecast.TSdata | Forecast Multiple Steps Ahead |
| forecast.TSestModel | Forecast Multiple Steps Ahead |
| forecast.TSmodel | Forecast Multiple Steps Ahead |
| forecastCov | Forecast covariance for different models |
| forecastCov.TSdata | Forecast covariance for different models |
| forecastCov.TSestModel | Forecast covariance for different models |
| forecastCov.TSmodel | Forecast covariance for different models |
| forecastCovEstimatorsWRTdata | Calculate Forecast Cov of Estimators WRT Data |
| forecastCovEstimatorsWRTtrue | Compare Forecasts Cov Relative to True Model Output |
| forecastCovReductionsWRTtrue | Forecast covariance for different models |
| forecastCovWRTtrue | Compare Forecasts to True Model Output |
| forecasts | Extract Forecasts |
| forecasts.featherForecasts | Extract Forecasts |
| forecasts.forecast | Extract Forecasts |
| forecasts.horizonForecasts | Extract Forecasts |
| frequency.TSdata | Specific Methods for tframed Data |
| frequency.TSestModel | Specific Methods for tframed Data |
| frequencyInput | TSdata Periods |
| frequencyInput.TSdata | TSdata Periods |
| frequencyInput.TSestModel | TSdata Periods |
| frequencyOutput | TSdata Periods |
| frequencyOutput.TSdata | TSdata Periods |
| frequencyOutput.TSestModel | TSdata Periods |
-- G --
| gmap | Basis Transformation of a Model. |
-- H --
| horizonForecasts | Calculate forecasts at specified horizons |
| horizonForecasts.forecastCov | Calculate forecasts at specified horizons |
| horizonForecasts.TSdata | Calculate forecasts at specified horizons |
| horizonForecasts.TSestModel | Calculate forecasts at specified horizons |
| horizonForecasts.TSmodel | Calculate forecasts at specified horizons |
| horizonForecastsCompiled | Calculate forecasts at specified horizons |
| horizonForecastsCompiled.ARMA | Calculate forecasts at specified horizons |
| horizonForecastsCompiled.SS | Calculate forecasts at specified horizons |
-- I --
| informationTests | Tabulates selection criteria |
| informationTestsCalculations | Calculate selection criteria |
| inputData | TSdata Series |
| inputData.default | TSdata Series |
| inputData.TSdata | TSdata Series |
| inputData.TSestModel | TSdata Series |
| inputData<- | TSdata Series |
| inputData<-.default | TSdata Series |
| inputData<-.TSdata | TSdata Series |
| is.ARMA | ARMA Model Constructor |
| is.estimatedModels | Estimate Models |
| is.featherForecasts | Multiple Horizon-Step Ahead Forecasts |
| is.forecast | Forecast Multiple Steps Ahead |
| is.forecastCov | Forecast covariance for different models |
| is.forecastCovEstimatorsWRTdata | Calculate Forecast Cov of Estimators WRT Data |
| is.forecastCovEstimatorsWRTdata.subsets | Check Inheritance |
| is.forecastCovEstimatorsWRTtrue | Compare Forecasts Cov Relative to True Model Output |
| is.forecastCovWRTdata | Compare Forecasts to True Model Output |
| is.horizonForecasts | Calculate forecasts at specified horizons |
| is.innov.SS | State Space Models |
| is.nonInnov.SS | State Space Models |
| is.SS | State Space Models |
| is.TSdata | Construct TSdata time series object |
| is.TSestModel | Estimated Time Series Model |
| is.TSmodel | Time Series Models |
-- L --
| l | Evaluate a TSmodel |
| l.ARMA | Evaluate an ARMA TSmodel |
| l.SS | Evaluate a state space TSmodel |
| l.TSdata | Evaluate a TSmodel |
| l.TSestModel | Evaluate a TSmodel |
-- M --
| markovParms | Markov Parameters |
| McMillanDegree | Calculate McMillan Degree |
| McMillanDegree.ARMA | Calculate McMillan Degree |
| McMillanDegree.SS | Calculate McMillan Degree |
| McMillanDegree.TSestModel | Calculate McMillan Degree |
| minForecastCov | Minimum Forecast Cov Models |
| minimumStartupLag | Starting Periods Required |
| minimumStartupLag.ARMA | Starting Periods Required |
| minimumStartupLag.SS | Starting Periods Required |
| minimumStartupLag.TSestModel | Starting Periods Required |
| MittnikReducedModels | Reduced Models via Mittnik SVD balancing |
| MittnikReduction | Balance and Reduce a Model |
| MittnikReduction.from.Hankel | Balance and Reduce a Model |
-- N --
| nseries.featherForecasts | Number of Series |
| nseriesInput | Number of Series in in Input or Output |
| nseriesInput.ARMA | Number of Series in in Input or Output |
| nseriesInput.default | Number of Series in in Input or Output |
| nseriesInput.SS | Number of Series in in Input or Output |
| nseriesInput.TSdata | Number of Series in in Input or Output |
| nseriesInput.TSestModel | Number of Series in in Input or Output |
| nseriesOutput | Number of Series in in Input or Output |
| nseriesOutput.ARMA | Number of Series in in Input or Output |
| nseriesOutput.default | Number of Series in in Input or Output |
| nseriesOutput.SS | Number of Series in in Input or Output |
| nseriesOutput.TSdata | Number of Series in in Input or Output |
| nseriesOutput.TSestModel | Number of Series in in Input or Output |
| nstates | State Dimension of a State Space Model |
| nstates.ARMA | State Dimension of a State Space Model |
| nstates.SS | State Dimension of a State Space Model |
| nstates.TSestModel | State Dimension of a State Space Model |
-- O --
| observability | Calculate Model Observability Matrix |
| observability.ARMA | Calculate Model Observability Matrix |
| observability.SS | Calculate Model Observability Matrix |
| observability.TSestModel | Calculate Model Observability Matrix |
| old.estVARXar | Estimate a VAR TSmodel |
| outOfSample.forecastCovEstimatorsWRTdata | Calculate Out-of-Sample Forecasts |
| outputData | TSdata Series |
| outputData.default | TSdata Series |
| outputData.TSdata | TSdata Series |
| outputData.TSestModel | TSdata Series |
| outputData<- | TSdata Series |
| outputData<-.default | TSdata Series |
| outputData<-.TSdata | TSdata Series |
-- P --
| percentChange.TSdata | Calculate percent change |
| percentChange.TSestModel | Calculate percent change |
| permute | Permute |
| phasePlots | Calculate Phase Plots |
| plot.roots | Plot Model Roots |
| polydet | Polynomial Utilities |
| polyprod | Polynomial Utilities |
| polyrootDet | Polynomial Utilities |
| polysum | Polynomial Utilities |
| polyvalue | Polynomial Utilities |
| Portmanteau | Calculate Portmanteau statistic |
| print.ARMA | Display TSmodel Arrays |
| print.estimatedModels | Print Specific Methods |
| print.forecastCov | Print Specific Methods |
| print.forecastCovEstimatorsWRTdata.subsets | Print Specific Methods |
| print.forecastCovEstimatorsWRTtrue | Print Specific Methods |
| print.SS | Display TSmodel Arrays |
| print.summary.ARMA | Specific Methods for Summary |
| print.summary.estimatedModels | Summary Specific Methods |
| print.summary.forecastCov | Summary Specific Methods |
| print.summary.forecastCovEstimatorsWRTdata.subsets | Summary Specific Methods |
| print.summary.forecastCovEstimatorsWRTtrue | Summary Specific Methods |
| print.summary.SS | Specific Methods for Summary |
| print.summary.TSdata | Specific Methods for Summary |
| print.summary.TSestModel | Specific Methods for Summary |
| print.TSdata | Print Specific Methods |
| print.TSestModel | Display TSmodel Arrays |
-- R --
| reachability | Calculate Model Reachability Matrix |
| reachability.ARMA | Calculate Model Reachability Matrix |
| reachability.SS | Calculate Model Reachability Matrix |
| reachability.TSestModel | Calculate Model Reachability Matrix |
| residualStats | Calculate Residuals Statistics and Likelihood |
| Riccati | Riccati Equation |
| roots | Calculate Model Roots |
| roots.ARMA | Calculate Model Roots |
| roots.estimatedModels | Roots Specific Methods |
| roots.forecastCovEstimatorsWRTtrue | Roots Specific Methods |
| roots.SS | Calculate Model Roots |
| roots.TSestModel | Calculate Model Roots |
-- S --
| scale.ARMA | Scale Methods for TS objects |
| scale.innov | Scale Methods for TS objects |
| scale.nonInnov | Scale Methods for TS objects |
| scale.TSdata | Scale Methods for TS objects |
| scale.TSestModel | Scale Methods for TS objects |
| selectForecastCov | Select Forecast Covariances Meeting Criteria |
| seriesNames.TSdata | Series Names Specific Methods |
| seriesNames.TSestModel | Series Names Specific Methods |
| seriesNames.TSmodel | Series Names Specific Methods |
| seriesNames<-.TSdata | Series Names Specific Methods |
| seriesNames<-.TSestModel | Series Names Specific Methods |
| seriesNames<-.TSmodel | Series Names Specific Methods |
| seriesNamesInput | TSdata Series Names |
| seriesNamesInput.featherForecasts | TS Input and Output Specific Methods |
| seriesNamesInput.forecast | TS Input and Output Specific Methods |
| seriesNamesInput.TSdata | TSdata Series Names |
| seriesNamesInput.TSestModel | TSdata Series Names |
| seriesNamesInput.TSmodel | TSdata Series Names |
| seriesNamesInput<- | TSdata Series Names |
| seriesNamesInput<-.TSdata | TSdata Series Names |
| seriesNamesInput<-.TSestModel | TSdata Series Names |
| seriesNamesInput<-.TSmodel | TSdata Series Names |
| seriesNamesOutput | TSdata Series Names |
| seriesNamesOutput.featherForecasts | TS Input and Output Specific Methods |
| seriesNamesOutput.forecast | TS Input and Output Specific Methods |
| seriesNamesOutput.TSdata | TSdata Series Names |
| seriesNamesOutput.TSestModel | TSdata Series Names |
| seriesNamesOutput.TSmodel | TSdata Series Names |
| seriesNamesOutput<- | TSdata Series Names |
| seriesNamesOutput<-.TSdata | TSdata Series Names |
| seriesNamesOutput<-.TSestModel | TSdata Series Names |
| seriesNamesOutput<-.TSmodel | TSdata Series Names |
| shockDecomposition | Shock Decomposition |
| simulate | Simulate a TSmodel |
| simulate.ARMA | Simulate a TSmodel |
| simulate.SS | Simulate a TSmodel |
| simulate.TSestModel | Simulate a TSmodel |
| smoother | Evaluate a smoother with a TSmodel |
| smoother.nonInnov | Evaluate a smoother with a TSmodel |
| smoother.TSestModel | Evaluate a smoother with a TSmodel |
| smoother.TSmodel | Evaluate a smoother with a TSmodel |
| SS | State Space Models |
| stability | Calculate Stability of a TSmodel |
| stability.ARMA | Calculate Stability of a TSmodel |
| stability.roots | Calculate Stability of a TSmodel |
| stability.TSestModel | Calculate Stability of a TSmodel |
| stability.TSmodel | Calculate Stability of a TSmodel |
| start.TSdata | Specific Methods for tframed Data |
| start.TSestModel | Specific Methods for tframed Data |
| startInput | TSdata Periods |
| startInput.TSdata | TSdata Periods |
| startInput.TSestModel | TSdata Periods |
| startOutput | TSdata Periods |
| startOutput.TSdata | TSdata Periods |
| startOutput.TSestModel | TSdata Periods |
| startShift | Starting Periods Required |
| state | Extract State |
| stripMine | Select a Data Subset and Model |
| summary.ARMA | Specific Methods for Summary |
| summary.estimatedModels | Summary Specific Methods |
| summary.forecastCov | Summary Specific Methods |
| summary.forecastCovEstimatorsWRTdata.subsets | Summary Specific Methods |
| summary.forecastCovEstimatorsWRTtrue | Summary Specific Methods |
| summary.SS | Specific Methods for Summary |
| summary.TSdata | Specific Methods for Summary |
| summary.TSestModel | Specific Methods for Summary |
| sumSqerror | Calculate sum of squared prediction errors |
| SVDbalanceMittnik | Balance a state space model |
-- T --
| tbind.TSdata | Specific Methods for tframed Data |
| testEqual.ARMA | Specific Methods for Testing Equality |
| testEqual.estimatedModels | Specific Methods for Testing Equality |
| testEqual.forecast | Specific Methods for Testing Equality |
| testEqual.forecastCov | Specific Methods for Testing Equality |
| testEqual.horizonForecasts | Specific Methods for Testing Equality |
| testEqual.SS | Specific Methods for Testing Equality |
| testEqual.TSdata | Specific Methods for Testing Equality |
| testEqual.TSestModel | Specific Methods for Testing Equality |
| testEqual.TSmodel | Specific Methods for Testing Equality |
| tfplot.featherForecasts | Specific Methods for tfplot |
| tfplot.forecast | Specific Methods for tfplot |
| tfplot.forecastCov | Plots of Forecast Variance |
| tfplot.forecastCovEstimatorsWRTdata | Plots of Forecast Variance |
| tfplot.horizonForecasts | Specific Methods for tfplot |
| tfplot.multiModelHorizonForecasts | Specific Methods for tfplot |
| tfplot.TSdata | Tfplot Specific Methods |
| tfplot.TSestModel | Tfplot Specific Methods |
| tframe<-.TSdata | Specific Methods for tframed Data |
| tframed.TSdata | Specific Methods for tframed Data |
| tfwindow.TSdata | Specific Methods for tframed Data |
| toARMA | Convert to an ARMA Model |
| toARMA.ARMA | Convert to an ARMA Model |
| toARMA.SS | Convert to an ARMA Model |
| toARMA.TSestModel | Convert to an ARMA Model |
| Tobs.TSdata | Specific Methods for tframed Data |
| Tobs.TSestModel | Specific Methods for tframed Data |
| TobsInput | TSdata Periods |
| TobsInput.TSdata | TSdata Periods |
| TobsInput.TSestModel | TSdata Periods |
| TobsOutput | TSdata Periods |
| TobsOutput.TSdata | TSdata Periods |
| TobsOutput.TSestModel | TSdata Periods |
| toSS | Convert to State Space Model |
| toSS.ARMA | Convert to State Space Model |
| toSS.SS | Convert to State Space Model |
| toSS.TSestModel | Convert to State Space Model |
| toSSaugment | Convert to State Space Model |
| toSSaugment.ARMA | Convert to State Space Model |
| toSSaugment.TSestModel | Convert to State Space Model |
| toSSChol | Convert to Non-Innovation State Space Model |
| toSSChol.TSestModel | Convert to Non-Innovation State Space Model |
| toSSChol.TSmodel | Convert to Non-Innovation State Space Model |
| toSSinnov | Convert to State Space Innovations Model |
| toSSnested | Convert to State Space Model |
| toSSnested.ARMA | Convert to State Space Model |
| toSSnested.SS | Convert to State Space Model |
| toSSnested.TSestModel | Convert to State Space Model |
| toSSOform | Convert to Oform |
| toSSOform.TSestModel | Convert to Oform |
| toSSOform.TSmodel | Convert to Oform |
| totalForecastCov | Sum covariance of forecasts across all series |
| trimNA.TSdata | Specific Methods for tframed Data |
| TSdata | Construct TSdata time series object |
| TSdata.default | Construct TSdata time series object |
| TSdata.forecastCov | TS Extractor Specific Methods |
| TSdata.object | time series data object |
| TSdata.TSdata | Construct TSdata time series object |
| TSdata.TSestModel | Construct TSdata time series object |
| TSestModel | Estimated Time Series Model |
| TSestModel.object | Estimated Time Series Model |
| TSestModel.TSestModel | Estimated Time Series Model |
| TSmodel | Time Series Models |
| TSmodel.forecastCov | TS Extractor Specific Methods |
| TSmodel.TSestModel | Time Series Models |
| TSmodel.TSmodel | Time Series Models |
-- W --
| window.TSdata | Specific Methods for tframed Data |
-- misc --
| .DSEflags | Flags to Indicate Use of Compiled Code |
| 00.dse.Intro | Dynamic Systems Estimation - Multivariate Time Series Package |