StateSpaceModels.jl: a Julia Package for Time-Series Analysis in a State-Space Framework

Guilherme Bodin; Mario Souto; Raphael Saavedra

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StateSpaceModels.jl: a Julia Package for Time-Series Analysis in a State-Space Framework

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arxiv 1908.01757 v2 pith:XUIY3U7Q submitted 2019-08-05 stat.CO math.OC

StateSpaceModels.jl: a Julia Package for Time-Series Analysis in a State-Space Framework

Raphael Saavedra , Guilherme Bodin , Mario Souto This is my paper

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keywords packageframeworkjuliaseriesstate-spacestatespacemodelstimeaddition

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StateSpaceModels.jl is an open-source Julia package for modeling, forecasting and simulating time series in a state-space framework. The package represents a straightforward tool that can be useful for a wide range of applications that deal with time series. In addition, it contains features that are not present in related commercial software, such as Monte Carlo simulation and the possibility of setting any user-defined linear model.

StateSpaceModels.jl: a Julia Package for Time-Series Analysis in a State-Space Framework

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