Structural Time Series Models


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Documentation for package ‘stsm’ version 1.9

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stsm-package Structural Time Series Models
barrier.eval Barrier Term in the Likelihood Function
Brent.fmin Choice of the Step Size in the Scoring Algorithm
char2numeric State Space Representation of Objects of Class 'stsm'
char2numeric-method State Space Representation of Objects of Class 'stsm'
check.bounds Check the Validity of an Object of Class 'stsm'
check.bounds-method Check the Validity of an Object of Class 'stsm'
coef.stsmFit Methods to Extract Information from a Fitted 'stsm' Model Object
confint.stsmFit Variance-covariance Matrix for a Fitted 'stsm' Model Object
datagen.stsm Generate Data from a Structural Time Series Model
fitted.stsm Methods to Extract Information from a Fitted 'stsm' Model Object
fitted.stsmFit Methods to Extract Information from a Fitted 'stsm' Model Object
force.defpos Force Positive Definiteness of a Matrix
gdp4795 USA Real Gross Domestic Product
get.cpar Getter Methods for Class 'stsm'
get.cpar-method Getter Methods for Class 'stsm'
get.nopars Getter Methods for Class 'stsm'
get.nopars-method Getter Methods for Class 'stsm'
get.pars Getter Methods for Class 'stsm'
get.pars-method Getter Methods for Class 'stsm'
init.vars Initial Parameter Values
KFconvar Time Domain Log-Likelihood Function and Derivatives
linesearch Choice of the Step Size in the Scoring Algorithm
llmseas Simulated Data
logLik Extract Log-Likelihood
logLik.stsm Extract Log-Likelihood
maxclik.fd.scoring Maximization of the Spectral Likelihood Function
maxlik.em Maximization of the Time Domain Likelihood Function via the Expectation-Maximization Algorithm
maxlik.fd Maximization of the Spectral Likelihood Function
maxlik.fd.optim Maximization of the Spectral Likelihood Function
maxlik.fd.scoring Maximization of the Spectral Likelihood Function
maxlik.td Maximization of the Time Domain Likelihood Function
maxlik.td.optim Maximization of the Time Domain Likelihood Function
maxlik.td.scoring Maximization of the Time Domain Likelihood Function
mcloglik.fd Spectral Log-Likelihood Function and Derivatives
mcloglik.fd.deriv Spectral Log-Likelihood Function and Derivatives
mcloglik.fd.grad Spectral Log-Likelihood Function and Derivatives
method-logLik Extract Log-Likelihood
methods-stsmFit Methods to Extract Information from a Fitted 'stsm' Model Object
methods-vcov-confint Variance-covariance Matrix for a Fitted 'stsm' Model Object
mloglik.fd Spectral Log-Likelihood Function and Derivatives
mloglik.fd.deriv Spectral Log-Likelihood Function and Derivatives
mloglik.fd.grad Spectral Log-Likelihood Function and Derivatives
mloglik.td Time Domain Log-Likelihood Function and Derivatives
mloglik.td.deriv Time Domain Log-Likelihood Function and Derivatives
mloglik.td.grad Time Domain Log-Likelihood Function and Derivatives
plot.stsmComponents Methods to Extract Information from a Fitted 'stsm' Model Object
plot.stsmPredict Methods to Extract Information from a Fitted 'stsm' Model Object
plot.stsmSmooth Methods to Extract Information from a Fitted 'stsm' Model Object
predict.stsm Methods to Extract Information from a Fitted 'stsm' Model Object
predict.stsmFit Methods to Extract Information from a Fitted 'stsm' Model Object
print.stsmFit Methods to Extract Information from a Fitted 'stsm' Model Object
residuals.stsmFit Methods to Extract Information from a Fitted 'stsm' Model Object
set.cpar Setter Methods for Class 'stsm'
set.cpar-method Setter Methods for Class 'stsm'
set.nopars Setter Methods for Class 'stsm'
set.nopars-method Setter Methods for Class 'stsm'
set.pars Setter Methods for Class 'stsm'
set.pars-method Setter Methods for Class 'stsm'
set.sgfc Setter Methods for Class 'stsm'
set.sgfc-method Setter Methods for Class 'stsm'
set.xreg Setter Methods for Class 'stsm'
set.xreg-method Setter Methods for Class 'stsm'
show Display an Object of Class 'stsm'
show-method Display an Object of Class 'stsm'
sim-data Simulated Data
step.maxsize Choice of the Step Size in the Scoring Algorithm
stsm Class 'stsm' for Structural Time Series Models
stsm-class Class 'stsm' for Structural Time Series Models
stsm-get-methods Getter Methods for Class 'stsm'
stsm-set-methods Setter Methods for Class 'stsm'
stsm-show-methods Display an Object of Class 'stsm'
stsm-transPars-methods Parameterization of Models Defined in the Class 'stsm'
stsm-validObject-methods Check the Validity of an Object of Class 'stsm'
stsm.model Wrapper for Constructor of Objects of Class 'stsm'
stsm.sgf Spectral Generating Function of Common Structural Time Series Models
stsmFit Interface to Different Fitting Procedures
transPars Parameterization of Models Defined in the Class 'stsm'
transPars-method Parameterization of Models Defined in the Class 'stsm'
tsdiag.stsmFit Methods to Extract Information from a Fitted 'stsm' Model Object
tsSmooth.stsm Methods to Extract Information from a Fitted 'stsm' Model Object
tsSmooth.stsmFit Methods to Extract Information from a Fitted 'stsm' Model Object
validObject Check the Validity of an Object of Class 'stsm'
validObject-method Check the Validity of an Object of Class 'stsm'
vcov.stsm Variance-covariance Matrix for a Fitted 'stsm' Model Object
vcov.stsmFit Variance-covariance Matrix for a Fitted 'stsm' Model Object