cts : An R Package for Continuous Time Autoregressive Models via Kalman Filter
We describe an R package cts for fitting a modified form of continuous time autoregressive model, which can be particularly useful with unequally sampled time series. The estimation is based on the application of the Kalman filter. The paper provides the methods and algorithms implemented in the pac...
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doaj-e867374b90014d0f981bfc92b61a9e612020-11-24T22:49:20ZengFoundation for Open Access StatisticsJournal of Statistical Software1548-76602013-04-01535cts : An R Package for Continuous Time Autoregressive Models via Kalman FilterZhu WangWe describe an R package cts for fitting a modified form of continuous time autoregressive model, which can be particularly useful with unequally sampled time series. The estimation is based on the application of the Kalman filter. The paper provides the methods and algorithms implemented in the package, including parameter estimation, spectral analysis, forecasting, model checking and Kalman smoothing. The package contains R functions which interface underlying Fortran routines. The package is applied to geophysical and medical data for illustration.http://www.jstatsoft.org/v53/i05/papercontinuous time autoregressive modelstate space modelKalman lterKalman smoothingR |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Zhu Wang |
spellingShingle |
Zhu Wang cts : An R Package for Continuous Time Autoregressive Models via Kalman Filter Journal of Statistical Software continuous time autoregressive model state space model Kalman lter Kalman smoothing R |
author_facet |
Zhu Wang |
author_sort |
Zhu Wang |
title |
cts : An R Package for Continuous Time Autoregressive Models via Kalman Filter |
title_short |
cts : An R Package for Continuous Time Autoregressive Models via Kalman Filter |
title_full |
cts : An R Package for Continuous Time Autoregressive Models via Kalman Filter |
title_fullStr |
cts : An R Package for Continuous Time Autoregressive Models via Kalman Filter |
title_full_unstemmed |
cts : An R Package for Continuous Time Autoregressive Models via Kalman Filter |
title_sort |
cts : an r package for continuous time autoregressive models via kalman filter |
publisher |
Foundation for Open Access Statistics |
series |
Journal of Statistical Software |
issn |
1548-7660 |
publishDate |
2013-04-01 |
description |
We describe an R package cts for fitting a modified form of continuous time autoregressive model, which can be particularly useful with unequally sampled time series. The estimation is based on the application of the Kalman filter. The paper provides the methods and algorithms implemented in the package, including parameter estimation, spectral analysis, forecasting, model checking and Kalman smoothing. The package contains R functions which interface underlying Fortran routines. The package is applied to geophysical and medical data for illustration. |
topic |
continuous time autoregressive model state space model Kalman lter Kalman smoothing R |
url |
http://www.jstatsoft.org/v53/i05/paper |
work_keys_str_mv |
AT zhuwang ctsanrpackageforcontinuoustimeautoregressivemodelsviakalmanfilter |
_version_ |
1725676280822628352 |