DSE

A Dynamic Systems Estimation library.
Paul Gilbert, Bank of Canada
Copyright 1993, 1994, 1995, 1996, Bank of Canada.

Copyright 1997, Paul Gilbert.

The user of this software has the right to use, reproduce and distribute it. Bank of Canada makes no warranties with respect to the software or its fitness for any particular purpose. The software is distributed by the Bank of Canada solely on an "as is" basis. By using the software, user agrees to accept the entire risk of using this software.


See also the Brief User's Guide for a general description of the use of this library. This is available as a postscript or as a pdf file.

Table of Contents


General Description
Index to Functions by Name
Index to Functions by Title
Main Data Objects
P. Gilbert - Home on the Web.
To subscribe to the DSE discussion list send mail to boc_list@bank-banque-canada.ca with the body line subscribe boc_dse Your Name
Known DSE Bugs and recent information.
Links to Other Internet Statistical Resources



General Description



This is a library of functions for time series modeling. The library works with the S (Splus) and R languages. The functions in this library are designed for estimating and converting among various representations of time series models. The library supports multivariate ARMA and state space models. The implementation is done using classes and methods, so other model representations can be added fairly easily. For more details on the representation of models see the help for objects TSmodel and TSestModel. For details of the underlying theory and examples of the capabilities of the system see "State Space and ARMA Models: An Overview of the Equivalence", P. Gilbert, Bank of Canada working paper 93-4. This is available from the Bank of Canada, or at the same location as the software (ftp.bank-banque-canada.ca) or by the WWW as a postscript file or as an Adobe pdf file. Examples of the use of several functions can be seen in the functions example.tests and BOC.paper.tests.

There are also functions for forecasting with the models and for evaluating the performance of forecasting models. Finally, there are functions for evaluating model estimation techniques.

In addition to this help facility there is a document called a "Brief User's Guide" which explains, with examples, the use of the main functions in the library. This is available in a postscript or as a pdf file. The functions described in the guide should work fairly reliably, however, many of the functions described in this help facility are still under development and may not work. In addition, there may be functions described in the help facility for which the code has not yet been included with the software. This is a compromise which allows me to make the software available with minimum effort. This software is not a commercial product. It is the by-product of an ongoing research effort. Constructive suggestions and comments are welcomed. I can be reached at pgilbert@bank-banque-canada.ca or by phone at (613) 782-7346.


Main Data Objects




TSdata.object

TSdata time series data object

Description

Generation

Methods

Inheritance

Structure

See Also


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TSmodel.object

TSmodel

Time Series Models

Description

Generation

Methods

Inheritance

Structure and Details

See Also


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TSestModel.object

TSestModel estimated time series model object

Description

Details

See Also