SSpace: A Toolbox for State Space Modeling

doi:10.18637/jss.v087.i05

SSpace: A Toolbox for State Space Modeling

2018-01-01

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AI

DOI：10.18637/jss.v087.i05

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SSpace is a MATLAB toolbox for state space modeling. State space modeling is in itself a powerful and flexible framework for dynamic system modeling, and SSpace is conceived in a way that tries to maximize this flexibility. 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, have absolute control on parameterizations, constraints among parameters, etc. Besides, the toolbox allows for some ways to implement either non-standard models or standard models with non-standard extensions, like heteroskedasticity, time-varying parameters, arbitrary nonlinear 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 are provided. The way the toolbox is built allows for extensions in many ways. In order to fuel such extensions and discussions an online forum has been launched.

Keyword:

state space models

unobserved components

ARIMA

exponential smoothing

Kalman filter

MATLAB

SSpace: A Toolbox for State Space Modeling

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