SSpace is a MATLAB toolbox for State Space modelling that provides the user with tools for linear Gaussian, non-linear and non-Gaussian systems with the most advanced and up-to-date features available in any State Space framework. Great flexibility is achieved because each model is coded on a standard MATLAB function, thence having absolute control on particular parameterizations, parameter constraints, time variation of parameters or variances, arbitrary non-linear relations with inputs, time aggregation, nested models, system concatenation, etc. The toolbox may be used by specifying State Space systems from scratch or by using ready-to-use templates for standard methods (like VARMAX, exponential smoothing, unobserved components, dynamic linear regression , etc.). The toolbox is freely available via a public code repository with full documentation and help system. This chapter demonstrates the toolbox's potential with several examples.
CITATION STYLE
Pedregal, D. J., Villegas, M. A., Villegas, D. A., & Trapero, J. R. (2019). Time Series Modeling with MATLAB: The SSpace Toolbox (pp. 71–84). https://doi.org/10.1007/978-3-030-26036-1_6
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