SSpace: A Toolbox for State Space Modeling
SSpace is a MATLAB toolbox for State Space modelling. State Space is in itself a powerful and flexible framework for dynamic system modelling, and SSpace is conceived in a way that try to enhance such flexibility to its maximum. One of the most salient features is that users implement their models b...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2018 |
| País: | España |
| Institución: | Universidad de Castilla-La Mancha |
| Repositorio: | RUIdeRA. Repositorio Institucional de la UCLM |
| OAI Identifier: | oai:ruidera.uclm.es:10578/20573 |
| Acceso en línea: | http://hdl.handle.net/10578/20573 |
| Access Level: | acceso abierto |
| Palabra clave: | State space models Unobserved components ARIMA Exponential smoothing Kalman filter MATLAB |
| Sumario: | SSpace is a MATLAB toolbox for State Space modelling. State Space is in itself a powerful and flexible framework for dynamic system modelling, and SSpace is conceived in a way that try to enhance such flexibility to its maximum. One of the most salient features is that users implement their models by coding a MATLAB function. In this way, users have complete flexibility when specifying the systems, having absolute control on parameterisations, constraints among parameters, etc. Besides, the toolbox allows for some ways to implement either non-standard models or standard models with nonstandard extensions, like heteroskedasticity, time varying parameters, arbitrary non-linear relations with inputs, transfer functions without the need of using explicitly the State Space form, etc. The toolbox may be used on the basis of scratch State Space systems, but is supplied with a number of templates for standard widespread models. A full help system and documentation is provided. The way the toolbox is built allows for extensions in many ways. In order to fuel such extensions and discussions an on-line forum has been launched |
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