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The State Space Models Toolbox for MATLAB

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  • Peng, Jyh-Ying
  • Aston, John A. D.

Abstract

State Space Models (SSM) is a MATLAB toolbox for time series analysis by state space methods. The software features fully interactive construction and combination of models, with support for univariate and multivariate models, complex time-varying (dy- namic) models, non-Gaussian models, and various standard models such as ARIMA and structural time-series models. The software includes standard functions for Kalman fil- tering and smoothing, simulation smoothing, likelihood evaluation, parameter estimation, signal extraction and forecasting, with incorporation of exact initialization for filters and smoothers, and support for missing observations and multiple time series input with com- mon analysis structure. The software also includes implementations of TRAMO model selection and Hillmer-Tiao decomposition for ARIMA models. The software will provide a general toolbox for time series analysis on the MATLAB platform, allowing users to take advantage of its readily available graph plotting and general matrix computation capabilities.

Suggested Citation

  • Peng, Jyh-Ying & Aston, John A. D., 2011. "The State Space Models Toolbox for MATLAB," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i06).
    • Handle: RePEc:jss:jstsof:v:041:i06
    DOI: http://hdl.handle.net/10.18637/jss.v041.i06
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    References listed on IDEAS

    as
    1. Commandeur, Jacques J. F. & Koopman, Siem Jan & Ooms, Marius, 2011. "Statistical Software for State Space Methods," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i01).
    2. Víctor Gómez & Agustín Maravall, 1998. "Seasonal Adjustment and Signal Extraction in Economic Time Series," Working Papers 9809, Banco de España.
    3. Víctor Gómez & Agustín Maravall, 1998. "Automatic Modeling Methods for Univariate Series," Working Papers 9808, Banco de España.
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    6. Pacicco, Fausto & Vena, Luigi & Venegoni, Andrea, 2020. "Communication and financial supervision: How does disclosure affect market stability?," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 1-15.

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