Journal of Statistical Software

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Title The State Space Models Toolbox for MATLAB
Author Peng Jyh-Ying, Aston John A. D.
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 (dynamic) models, non-Gaussian models, and various standard models such as ARIMA and structural time-series models. The software includes standard functions for Kalman ltering and smoothing, simulation smoothing, likelihood evaluation, parameter estimation, signal extraction and forecasting, with incorporation of exact initialization for lters and smoothers, and support for missing observations and multiple time series input with common 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.
Keywords ARMA model, Kalman lter, state space methods, unobserved components, software tools, TRAMO/SEATS.
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