DismalPy
  • Examples
    • Durbin and Koopman: Box-Jenkins Examples
    • SARIMAX: Introduction
      • ARIMA Example 1: Arima
      • ARIMA Example 2: Arima with additive seasonal effects
      • ARIMA Example 3: Airline Model
      • ARIMA Example 4: ARMAX (Friedman)
      • ARIMA Postestimation: Example 1 - Dynamic Forecasting
    • State space modeling: Local Linear Trends
      • References
    • Detrending, Stylized Facts and the Business Cycle
      • Unobserved Components
        • Trend
        • Seasonal
        • Cycle
        • Irregular
        • Regression effects
      • Data
      • Model
    • Dynamic factors and coincident indices
      • Macroeconomic data
      • Dynamic factors
      • Model specification
      • Parameter estimation
      • Estimates
        • Parameters
        • Estimated factors
      • Post-estimation
      • Coincident Index
      • Appendix 1: Extending the dynamic factor model
    • VARMAX models
      • Model specification
      • Example 1: VAR
      • Example 2: VMA
      • Caution: VARMA(p,q) specifications
  • DismalPy User Guide
    • State Space Models
      • Topics
        • State space models
        • Representation in Python
        • Maximum Likelihood Estimation
        • Posterior Simulation
        • Out-of-the-box models
        • References
      • Examples
        • Durbin and Koopman: Box-Jenkins Examples
        • SARIMAX: Introduction
        • State space modeling: Local Linear Trends
        • Detrending, Stylized Facts and the Business Cycle
        • Dynamic factors and coincident indices
        • VARMAX models
  • DismalPy Reference
    • State Space Models
      • Built-in models
        • SARIMAX
        • Unobserved Components
        • VARMAX
        • Dynamic Factors
      • Extension starting point
        • MLEModel
      • Base classes
        • Representation
        • Kalman filter
        • Kalman smoother
        • Simulation Smoother
        • Model
        • Tools
  • Installation
    • Dependencies
    • Procedure
    • Installing from source
  • Release Notes
    • DismalPy 0.2.0 Release Notes
      • Highlights
    • DismalPy 0.1.0 Release Notes
      • Highlights
      • Dropped Support
      • Future Changes
      • Compatibility notes
      • New Features
      • Improvements
      • Changes
      • Deprecations
  • About DismalPy
  • About this documentation
    • Conventions
  • Reporting bugs
  • DismalPy License
  • Glossary
    • Jargon
 
DismalPy
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  • Examples
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ExamplesΒΆ

The following are examples of state space model functionality:

  • Durbin and Koopman: Box-Jenkins Examples
  • SARIMAX: Introduction
    • ARIMA Example 1: Arima
    • ARIMA Example 2: Arima with additive seasonal effects
    • ARIMA Example 3: Airline Model
    • ARIMA Example 4: ARMAX (Friedman)
    • ARIMA Postestimation: Example 1 - Dynamic Forecasting
  • State space modeling: Local Linear Trends
    • References
  • Detrending, Stylized Facts and the Business Cycle
    • Unobserved Components
    • Data
    • Model
  • Dynamic factors and coincident indices
    • Macroeconomic data
    • Dynamic factors
    • Model specification
    • Parameter estimation
    • Estimates
    • Post-estimation
    • Coincident Index
    • Appendix 1: Extending the dynamic factor model
  • VARMAX models
    • Model specification
    • Example 1: VAR
    • Example 2: VMA
    • Caution: VARMA(p,q) specifications
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