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Abstract:
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A MATLAB software toolbox for doing time series analysis by state space methods is presented. The software features interactive construction and combination of models and model components, supporting univariate and multivariate models, dynamic models, non-Gaussian models, and standard models such as ARIMA and structural time-series models. The software includes functions for Kalman filtering and smoothing, simulation smoothing, likelihood evaluation, parameter estimation, signal extraction, and forecasting, with exact initialization for filters and smoothers, and support for missing observations. The software also includes TRAMO model selection and Hillmer-Tiao decomposition. The software provides a general toolbox for doing time series analysis using the MATLAB platform, allowing users to take advantage of its readily available graph plotting and general matrix computation capabilities.
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