# Dynamic Systems Estimation (Time Series Package)

## Documentation for package ‘dse’ version 2020.2-1

- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Code demos. Use demo() to run them.
- Package NEWS.

## Help Pages

A B C D E F G H I L M N O P R S T W misc

dse-package | Dynamic Systems Estimation - Multivariate Time Series Package

## -- A --

addPlotRoots | Add Model Roots to a plot
ARMA | ARMA Model Constructor
as.TSdata | Construct TSdata time series object

## -- B --

balanceMittnik | Balance a state space model
bestTSestModel | Select Best Model
bft | Estimate a TSmodel

## -- C --

characteristicPoly | Polynomial Utilities
checkBalance | Check Balance of a TSmodel
checkBalance.ARMA | Check Balance of a TSmodel
checkBalance.SS | Check Balance of a TSmodel
checkBalance.TSestModel | Check Balance of a TSmodel
checkBalanceMittnik | Check Balance of a TSmodel
checkBalanceMittnik.ARMA | Check Balance of a TSmodel
checkBalanceMittnik.SS | Check Balance of a TSmodel
checkBalanceMittnik.TSestModel | Check Balance of a TSmodel
checkConsistentDimensions | Check Consistent Dimensions
checkConsistentDimensions.ARMA | Check Consistent Dimensions
checkConsistentDimensions.default | Check Consistent Dimensions
checkConsistentDimensions.SS | Check Consistent Dimensions
checkConsistentDimensions.TSdata | Check Consistent Dimensions
checkConsistentDimensions.TSestModel | Check Consistent Dimensions
checkResiduals | Autocorrelations Diagnostics
checkResiduals.default | Autocorrelations Diagnostics
checkResiduals.TSdata | Autocorrelations Diagnostics
checkResiduals.TSestModel | Autocorrelations Diagnostics
checkScale | Scale Methods for TS objects
checkScale.TSestModel | Scale Methods for TS objects
checkScale.TSmodel | Scale Methods for TS objects
coef.TSestModel | Extract or set Model Parameters
coef.TSmodel | Extract or set Model Parameters
coef<- | Extract or set Model Parameters
coef<-.default | Extract or set Model Parameters
combine | Combine two objects.
combine.default | Combine two objects.
combine.forecastCov | Combine 2 Forecast Cov Objects
combine.forecastCovEstimatorsWRTdata | Combine 2 Forecast Cov Objects
combine.forecastCovEstimatorsWRTtrue | Combine 2 Forecast Cov Objects
combine.TSdata | Combine series from two TSdata objects.
companionMatrix | Polynomial Utilities

## -- D --

dse | Dynamic Systems Estimation - Multivariate Time Series Package
dse.Intro | Dynamic Systems Estimation - Multivariate Time Series Package
DSEversion | Print Version Information

## -- E --

eg1.dat | Four Time Series used in Gilbert (1993)
eg1.DSE.data | Four Time Series used in Gilbert (1993)
eg1.DSE.data.diff | Four Time Series used in Gilbert (1993)
egJofF.1dec93.data | Eleven Time Series used in Gilbert (1995)
end.TSdata | Specific Methods for tframed Data
end.TSestModel | Specific Methods for tframed Data
endInput | TSdata Periods
endInput.TSdata | TSdata Periods
endInput.TSestModel | TSdata Periods
endOutput | TSdata Periods
endOutput.TSdata | TSdata Periods
endOutput.TSestModel | TSdata Periods
estBlackBox | Estimate a TSmodel
estBlackBox1 | Estimate a TSmodel
estBlackBox2 | Estimate a TSmodel
estBlackBox3 | Estimate a TSmodel
estBlackBox4 | Estimate a TSmodel
estimateModels | Estimate Models
estimatorsHorizonForecastsWRTdata | Estimate models and forecast at given horizons
estMaxLik | Maximum Likelihood Estimation
estMaxLik.TSdata | Maximum Likelihood Estimation
estMaxLik.TSestModel | Maximum Likelihood Estimation
estMaxLik.TSmodel | Maximum Likelihood Estimation
estSSfromVARX | Estimate a state space TSmodel using VAR estimation
estSSMittnik | Estimate a State Space Model
estVARXar | Estimate a VAR TSmodel
estVARXls | Estimate a VAR TSmodel
estWtVariables | Weighted Estimation
excludeForecastCov | Filter Object to Remove Forecasts
extractforecastCov | Extract Forecast Covariance
extractforecastCov.forecastCovEstimatorsFromModel | Extract Forecast Covariance
extractforecastCov.forecastCovEstimatorsWRTdata | Extract Forecast Covariance

## -- F --

featherForecasts | Multiple Horizon-Step Ahead Forecasts
featherForecasts.TSdata | Multiple Horizon-Step Ahead Forecasts
featherForecasts.TSestModel | Multiple Horizon-Step Ahead Forecasts
featherForecasts.TSmodel | Multiple Horizon-Step Ahead Forecasts
fixConstants | Fix TSmodel Coefficients (Parameters) to Constants
fixF | Set SS Model F Matrix to Constants
forecast | Forecast Multiple Steps Ahead
forecast.TSdata | Forecast Multiple Steps Ahead
forecast.TSestModel | Forecast Multiple Steps Ahead
forecast.TSmodel | Forecast Multiple Steps Ahead
forecastCov | Forecast covariance for different models
forecastCov.TSdata | Forecast covariance for different models
forecastCov.TSestModel | Forecast covariance for different models
forecastCov.TSmodel | Forecast covariance for different models
forecastCovEstimatorsWRTdata | Calculate Forecast Cov of Estimators WRT Data
forecastCovEstimatorsWRTtrue | Compare Forecasts Cov Relative to True Model Output
forecastCovReductionsWRTtrue | Forecast covariance for different models
forecastCovWRTtrue | Compare Forecasts to True Model Output
forecasts | Extract Forecasts
forecasts.featherForecasts | Extract Forecasts
forecasts.forecast | Extract Forecasts
forecasts.horizonForecasts | Extract Forecasts
frequency.TSdata | Specific Methods for tframed Data
frequency.TSestModel | Specific Methods for tframed Data
frequencyInput | TSdata Periods
frequencyInput.TSdata | TSdata Periods
frequencyInput.TSestModel | TSdata Periods
frequencyOutput | TSdata Periods
frequencyOutput.TSdata | TSdata Periods
frequencyOutput.TSestModel | TSdata Periods

## -- G --

gmap | Basis Transformation of a Model.

## -- H --

horizonForecasts | Calculate forecasts at specified horizons
horizonForecasts.forecastCov | Calculate forecasts at specified horizons
horizonForecasts.TSdata | Calculate forecasts at specified horizons
horizonForecasts.TSestModel | Calculate forecasts at specified horizons
horizonForecasts.TSmodel | Calculate forecasts at specified horizons
horizonForecastsCompiled | Calculate forecasts at specified horizons
horizonForecastsCompiled.ARMA | Calculate forecasts at specified horizons
horizonForecastsCompiled.SS | Calculate forecasts at specified horizons

## -- I --

informationTests | Tabulates selection criteria
informationTestsCalculations | Calculate selection criteria
inputData | TSdata Series
inputData.default | TSdata Series
inputData.TSdata | TSdata Series
inputData.TSestModel | TSdata Series
inputData<- | TSdata Series
inputData<-.default | TSdata Series
inputData<-.TSdata | TSdata Series
is.ARMA | ARMA Model Constructor
is.estimatedModels | Estimate Models
is.featherForecasts | Multiple Horizon-Step Ahead Forecasts
is.forecast | Forecast Multiple Steps Ahead
is.forecastCov | Forecast covariance for different models
is.forecastCovEstimatorsWRTdata | Calculate Forecast Cov of Estimators WRT Data
is.forecastCovEstimatorsWRTdata.subsets | Check Inheritance
is.forecastCovEstimatorsWRTtrue | Compare Forecasts Cov Relative to True Model Output
is.forecastCovWRTdata | Compare Forecasts to True Model Output
is.horizonForecasts | Calculate forecasts at specified horizons
is.innov.SS | State Space Models
is.nonInnov.SS | State Space Models
is.SS | State Space Models
is.TSdata | Construct TSdata time series object
is.TSestModel | Estimated Time Series Model
is.TSmodel | Time Series Models

## -- L --

l | Evaluate a TSmodel
l.ARMA | Evaluate an ARMA TSmodel
l.SS | Evaluate a state space TSmodel
l.TSdata | Evaluate a TSmodel
l.TSestModel | Evaluate a TSmodel

## -- M --

markovParms | Markov Parameters
McMillanDegree | Calculate McMillan Degree
McMillanDegree.ARMA | Calculate McMillan Degree
McMillanDegree.SS | Calculate McMillan Degree
McMillanDegree.TSestModel | Calculate McMillan Degree
minForecastCov | Minimum Forecast Cov Models
minimumStartupLag | Starting Periods Required
minimumStartupLag.ARMA | Starting Periods Required
minimumStartupLag.SS | Starting Periods Required
minimumStartupLag.TSestModel | Starting Periods Required
MittnikReducedModels | Reduced Models via Mittnik SVD balancing
MittnikReduction | Balance and Reduce a Model
MittnikReduction.from.Hankel | Balance and Reduce a Model

## -- N --

nseries.featherForecasts | Number of Series
nseriesInput | Number of Series in in Input or Output
nseriesInput.ARMA | Number of Series in in Input or Output
nseriesInput.default | Number of Series in in Input or Output
nseriesInput.SS | Number of Series in in Input or Output
nseriesInput.TSdata | Number of Series in in Input or Output
nseriesInput.TSestModel | Number of Series in in Input or Output
nseriesOutput | Number of Series in in Input or Output
nseriesOutput.ARMA | Number of Series in in Input or Output
nseriesOutput.default | Number of Series in in Input or Output
nseriesOutput.SS | Number of Series in in Input or Output
nseriesOutput.TSdata | Number of Series in in Input or Output
nseriesOutput.TSestModel | Number of Series in in Input or Output
nstates | State Dimension of a State Space Model
nstates.ARMA | State Dimension of a State Space Model
nstates.SS | State Dimension of a State Space Model
nstates.TSestModel | State Dimension of a State Space Model

## -- O --

observability | Calculate Model Observability Matrix
observability.ARMA | Calculate Model Observability Matrix
observability.SS | Calculate Model Observability Matrix
observability.TSestModel | Calculate Model Observability Matrix
old.estVARXar | Estimate a VAR TSmodel
outOfSample.forecastCovEstimatorsWRTdata | Calculate Out-of-Sample Forecasts
outputData | TSdata Series
outputData.default | TSdata Series
outputData.TSdata | TSdata Series
outputData.TSestModel | TSdata Series
outputData<- | TSdata Series
outputData<-.default | TSdata Series
outputData<-.TSdata | TSdata Series

## -- P --

percentChange.TSdata | Calculate percent change
percentChange.TSestModel | Calculate percent change
permute | Permute
phasePlots | Calculate Phase Plots
plot.roots | Plot Model Roots
polydet | Polynomial Utilities
polyprod | Polynomial Utilities
polyrootDet | Polynomial Utilities
polysum | Polynomial Utilities
polyvalue | Polynomial Utilities
Portmanteau | Calculate Portmanteau statistic
print.ARMA | Display TSmodel Arrays
print.estimatedModels | Print Specific Methods
print.forecastCov | Print Specific Methods
print.forecastCovEstimatorsWRTdata.subsets | Print Specific Methods
print.forecastCovEstimatorsWRTtrue | Print Specific Methods
print.SS | Display TSmodel Arrays
print.summary.ARMA | Specific Methods for Summary
print.summary.estimatedModels | Summary Specific Methods
print.summary.forecastCov | Summary Specific Methods
print.summary.forecastCovEstimatorsWRTdata.subsets | Summary Specific Methods
print.summary.forecastCovEstimatorsWRTtrue | Summary Specific Methods
print.summary.SS | Specific Methods for Summary
print.summary.TSdata | Specific Methods for Summary
print.summary.TSestModel | Specific Methods for Summary
print.TSdata | Print Specific Methods
print.TSestModel | Display TSmodel Arrays

## -- R --

reachability | Calculate Model Reachability Matrix
reachability.ARMA | Calculate Model Reachability Matrix
reachability.SS | Calculate Model Reachability Matrix
reachability.TSestModel | Calculate Model Reachability Matrix
residualStats | Calculate Residuals Statistics and Likelihood
Riccati | Riccati Equation
roots | Calculate Model Roots
roots.ARMA | Calculate Model Roots
roots.estimatedModels | Roots Specific Methods
roots.forecastCovEstimatorsWRTtrue | Roots Specific Methods
roots.SS | Calculate Model Roots
roots.TSestModel | Calculate Model Roots

## -- S --

scale.ARMA | Scale Methods for TS objects
scale.innov | Scale Methods for TS objects
scale.nonInnov | Scale Methods for TS objects
scale.TSdata | Scale Methods for TS objects
scale.TSestModel | Scale Methods for TS objects
selectForecastCov | Select Forecast Covariances Meeting Criteria
seriesNames.TSdata | Series Names Specific Methods
seriesNames.TSestModel | Series Names Specific Methods
seriesNames.TSmodel | Series Names Specific Methods
seriesNames<-.TSdata | Series Names Specific Methods
seriesNames<-.TSestModel | Series Names Specific Methods
seriesNames<-.TSmodel | Series Names Specific Methods
seriesNamesInput | TSdata Series Names
seriesNamesInput.featherForecasts | TS Input and Output Specific Methods
seriesNamesInput.forecast | TS Input and Output Specific Methods
seriesNamesInput.TSdata | TSdata Series Names
seriesNamesInput.TSestModel | TSdata Series Names
seriesNamesInput.TSmodel | TSdata Series Names
seriesNamesInput<- | TSdata Series Names
seriesNamesInput<-.TSdata | TSdata Series Names
seriesNamesInput<-.TSestModel | TSdata Series Names
seriesNamesInput<-.TSmodel | TSdata Series Names
seriesNamesOutput | TSdata Series Names
seriesNamesOutput.featherForecasts | TS Input and Output Specific Methods
seriesNamesOutput.forecast | TS Input and Output Specific Methods
seriesNamesOutput.TSdata | TSdata Series Names
seriesNamesOutput.TSestModel | TSdata Series Names
seriesNamesOutput.TSmodel | TSdata Series Names
seriesNamesOutput<- | TSdata Series Names
seriesNamesOutput<-.TSdata | TSdata Series Names
seriesNamesOutput<-.TSestModel | TSdata Series Names
seriesNamesOutput<-.TSmodel | TSdata Series Names
shockDecomposition | Shock Decomposition
simulate | Simulate a TSmodel
simulate.ARMA | Simulate a TSmodel
simulate.SS | Simulate a TSmodel
simulate.TSestModel | Simulate a TSmodel
smoother | Evaluate a smoother with a TSmodel
smoother.nonInnov | Evaluate a smoother with a TSmodel
smoother.TSestModel | Evaluate a smoother with a TSmodel
smoother.TSmodel | Evaluate a smoother with a TSmodel
SS | State Space Models
stability | Calculate Stability of a TSmodel
stability.ARMA | Calculate Stability of a TSmodel
stability.roots | Calculate Stability of a TSmodel
stability.TSestModel | Calculate Stability of a TSmodel
stability.TSmodel | Calculate Stability of a TSmodel
start.TSdata | Specific Methods for tframed Data
start.TSestModel | Specific Methods for tframed Data
startInput | TSdata Periods
startInput.TSdata | TSdata Periods
startInput.TSestModel | TSdata Periods
startOutput | TSdata Periods
startOutput.TSdata | TSdata Periods
startOutput.TSestModel | TSdata Periods
startShift | Starting Periods Required
state | Extract State
stripMine | Select a Data Subset and Model
summary.ARMA | Specific Methods for Summary
summary.estimatedModels | Summary Specific Methods
summary.forecastCov | Summary Specific Methods
summary.forecastCovEstimatorsWRTdata.subsets | Summary Specific Methods
summary.forecastCovEstimatorsWRTtrue | Summary Specific Methods
summary.SS | Specific Methods for Summary
summary.TSdata | Specific Methods for Summary
summary.TSestModel | Specific Methods for Summary
sumSqerror | Calculate sum of squared prediction errors
SVDbalanceMittnik | Balance a state space model

## -- T --

tbind.TSdata | Specific Methods for tframed Data
testEqual.ARMA | Specific Methods for Testing Equality
testEqual.estimatedModels | Specific Methods for Testing Equality
testEqual.forecast | Specific Methods for Testing Equality
testEqual.forecastCov | Specific Methods for Testing Equality
testEqual.horizonForecasts | Specific Methods for Testing Equality
testEqual.SS | Specific Methods for Testing Equality
testEqual.TSdata | Specific Methods for Testing Equality
testEqual.TSestModel | Specific Methods for Testing Equality
testEqual.TSmodel | Specific Methods for Testing Equality
tfplot.featherForecasts | Specific Methods for tfplot
tfplot.forecast | Specific Methods for tfplot
tfplot.forecastCov | Plots of Forecast Variance
tfplot.forecastCovEstimatorsWRTdata | Plots of Forecast Variance
tfplot.horizonForecasts | Specific Methods for tfplot
tfplot.multiModelHorizonForecasts | Specific Methods for tfplot
tfplot.TSdata | Tfplot Specific Methods
tfplot.TSestModel | Tfplot Specific Methods
tframe<-.TSdata | Specific Methods for tframed Data
tframed.TSdata | Specific Methods for tframed Data
tfwindow.TSdata | Specific Methods for tframed Data
toARMA | Convert to an ARMA Model
toARMA.ARMA | Convert to an ARMA Model
toARMA.SS | Convert to an ARMA Model
toARMA.TSestModel | Convert to an ARMA Model
Tobs.TSdata | Specific Methods for tframed Data
Tobs.TSestModel | Specific Methods for tframed Data
TobsInput | TSdata Periods
TobsInput.TSdata | TSdata Periods
TobsInput.TSestModel | TSdata Periods
TobsOutput | TSdata Periods
TobsOutput.TSdata | TSdata Periods
TobsOutput.TSestModel | TSdata Periods
toSS | Convert to State Space Model
toSS.ARMA | Convert to State Space Model
toSS.SS | Convert to State Space Model
toSS.TSestModel | Convert to State Space Model
toSSaugment | Convert to State Space Model
toSSaugment.ARMA | Convert to State Space Model
toSSaugment.TSestModel | Convert to State Space Model
toSSChol | Convert to Non-Innovation State Space Model
toSSChol.TSestModel | Convert to Non-Innovation State Space Model
toSSChol.TSmodel | Convert to Non-Innovation State Space Model
toSSinnov | Convert to State Space Innovations Model
toSSnested | Convert to State Space Model
toSSnested.ARMA | Convert to State Space Model
toSSnested.SS | Convert to State Space Model
toSSnested.TSestModel | Convert to State Space Model
toSSOform | Convert to Oform
toSSOform.TSestModel | Convert to Oform
toSSOform.TSmodel | Convert to Oform
totalForecastCov | Sum covariance of forecasts across all series
trimNA.TSdata | Specific Methods for tframed Data
TSdata | Construct TSdata time series object
TSdata.default | Construct TSdata time series object
TSdata.forecastCov | TS Extractor Specific Methods
TSdata.object | time series data object
TSdata.TSdata | Construct TSdata time series object
TSdata.TSestModel | Construct TSdata time series object
TSestModel | Estimated Time Series Model
TSestModel.object | Estimated Time Series Model
TSestModel.TSestModel | Estimated Time Series Model
TSmodel | Time Series Models
TSmodel.forecastCov | TS Extractor Specific Methods
TSmodel.TSestModel | Time Series Models
TSmodel.TSmodel | Time Series Models

## -- W --

window.TSdata | Specific Methods for tframed Data

## -- misc --

.DSEflags | Flags to Indicate Use of Compiled Code
00.dse.Intro | Dynamic Systems Estimation - Multivariate Time Series Package