Analysis of Time-Series Data using State-Space and Hierarchical Modeling

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Analysis of Time-Series Data using State-Space and Hierarchical Modeling

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Version 0.4
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Code Resources

The MARSS R package was written by Eli Holmes, Eric Ward and Kellie Wills. You are welcome to use the code and adapt it with attribution. It may not be used in any commercial applications. Links to more code can be found by following the links at E. Holmes' website. Links to our papers that use these methods can also be found at the same website. The function TMUfigure() is based on code written by Steve Ellner and Elizabeth Holmes. The function riskfigure() was written by Elizabeth Holmes.

Our other code for fitting multivariate state-space models can be found on our FishBox pages:

The website for Shumway and Stoffer (2006) is a great resource: Time Series Analysis II

Greg Welch's website on the Kalman filter is very good and has a lot of matlab code. His course material for a SIGGRAPH2001 course, Intro to Kalman, is a good introduction to the theory and is a little easier than Shumway and Stoffer. Links to different extended Kalman filters for non-linear systems are there too.

Created on Jul 26, 2010 at 12:43:05 PM by eli

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