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SsfPack

swMATH ID: 9502
Software Authors: Koopman, Siem Jan; Shephard, Neil; Doornik, Jurgen A.
Description: Statistical algorithms for models in state space using SsfPack 2. 2. The authors discuss and document 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 they 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 as ARMA and cubic spline models in state space form. Basic functions are available for filtering, moment smoothing and simulation smoothing. Ready-to-use functions are provided for standard tasks such as likelihood evaluation, forecasting and signal extraction. We show that SsfPack can be easily used for implementing, fitting and analysing Gaussian models relevant to many areas of econometrics and statistics. Some Gaussian illustrations are given.
Homepage: http://www.ssfpack.com/
Keywords: Kalman filtering; Kalman smoothing; Markov chain Monte Carlo; simulation smoother; state space; algorithms; univariate and multivariate models; Ox computing environment
Related Software: Ox; STAMP; R; astsa; Stata; SAS; KFAS; Matlab; gretl; EViews; RATS; sspir; dlm; S+FinMetrics; S-PLUS; TRAMO; ARFIMA; QUADPACK; SSMMATLAB; FKF
Cited in: 61 Publications

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1 Publication describing the Software Year

all top 5

Cited by 93 Authors

13 Koopman, Siem Jan
5 Ooms, Marius
5 Shephard, Neil
4 Doornik, Jurgen A.
4 McElroy, Tucker S.
4 Proietti, Tommaso
3 Tripodis, Yorghos
2 Bos, Charles S.
2 Durbin, James
2 Franco, Glaura C.
2 Harvey, Andrew C.
2 Jungbacker, Borus
2 Riani, Marco
2 van den Brakel, Jan A.
2 Wong, Soon Yip
2 Zivot, Eric
1 Alexandrov, Theodore
1 Barndorff-Nielsen, Ole Eiler
1 Bates, Timothy C.
1 Bellini, Tiziano
1 Bianconcini, Silvia
1 Birrell, Carole L.
1 Boker, Steven M.
1 Bordignon, Silvano
1 Borovkova, Svetlana
1 Bowsher, Clive G.
1 Brick, Timothy R.
1 Brinch, Christian N.
1 Buonaccorsi, John P.
1 Ceccotti, T. B.
1 Chib, Siddhartha
1 Chow, Sy-Miin
1 Corielli, Francesco
1 Creal, Drew D.
1 Dagum, Estelle Bee
1 De Rossi, Giuliano
1 Delle Monache, Davide
1 Dordonnat, Virginie
1 Dos Santos, Thiago R.
1 Estabrook, Ryne
1 Frale, Cecilia
1 Hautsch, Nikolaus
1 Hendry, David F.
1 Hindrayanto, Irma
1 Hui, Peng
1 Hunter, Michael D.
1 Kirkpatrick, Robert M.
1 Koop, Gary
1 Krainski, Elias T.
1 Krieg, Sabine
1 Langrock, Roland
1 Lee, Kai Ming
1 Lin, Yanxia
1 Lucas, André
1 Maass, Peter
1 Maes, Hermine H.
1 Mahakena, Diego
1 Meeks, Roland
1 Meucci, Attilio
1 Meyer, Renate
1 Moauro, Filippo
1 Monteiro, André d’Almeida
1 Nakajima, Jouchi
1 Neale, Michael C.
1 Neerchal, Nagaraj K.
1 Nielsen, Heino Bohn
1 Oh, Kum Hwa
1 Omori, Yasuhiro
1 Penzer, Jeremy
1 Pollock, D. Stephen G.
1 Potter, Simon M.
1 Pritikin, Joshua N.
1 Raggi, Davide
1 Rezende, Thiago
1 Roels, Joeri
1 Rue, Håvard
1 Ruiz-Cárdenas, Ramiro
1 Santos, Thiago R.
1 Savio, Giovanni
1 Schulz, Rainer
1 Steel, David G.
1 Sutcliffe, Andrew
1 Trimbur, Thomas M.
1 van Dijk, Herman K.
1 Wang, Jeffrey H.
1 Wenbiao, Xie
1 Werwatz, Axel
1 Wildi, Marc
1 Yang, Fuyu
1 Yapeng, Sun
1 Zahery, Mahsa
1 Zhang, Guangjian
1 Zirogiannis, Nikolaos

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