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:: Example 6.5 - Time Series Analysis and Its Applications (Edition 2: With R Examples) ::
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The non-commercial (academic) use of this software is free of charge. The only thing that is asked in return is to cite this software when results are used in publications.
This free online software (calculator) reproduces Example 6.5 (Prediction, Filtering, and Smoothing for the Local Level Model) in Shumway R.H., Stoffer D.S., Time Series Analysis and Its Applications (2nd ed. with R examples). The module includes all necessary functions to reproduce their results (Kfilter.R, Ksmooth.R, and ex65.txt). In addition, some hard-coded numbers have been replaced by user-defined parameters.
| Cite this software as: | | Wessa P., (2006), Reproduction of Example 6.5 in Time Series Analysis and Its Applications (v1.0.2) in Free Statistics Software (v1.1.19), Office for Research Development and Education, URL http://www.wessa.net/rwasp_shumwaystofferex65.wasp/ | | | The R code is based on : | | | Shumway R.H., Stoffer D.S., Time Series Analysis and Its Applications (2nd ed. with R examples), Springer, 2006 | | | Shumway R.H., Stoffer D.S., Time Series Analysis and Its Applications (2nd ed. with R examples), URL http://www.stat.pitt.edu/stoffer/tsa2/#Rchapter6 | | | | | | |
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To cite Wessa.net in publications use:
Wessa, P. (2008), Free Statistics Software, Office for Research Development and Education,
version 1.1.19, URL http://www.wessa.net/
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