This paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing environment. SsfPack allows for a full range of different state space forms: from a simple time-invariant model to a complicated time-varying model. Functions can be used which put standard models such...Expand abstract
- Discussion Papers
- Publication date:
- Local pid:
- Copyright date:
Statistical algorithms for models in state space using ssfpack 2.2.
Views and Downloads
If you are the owner of this record, you can report an update to it here: Report update to this record