State Space Modeling Using SAS
This article provides a brief introduction to the state space modeling capabilities in SAS, a well-known statistical software system. SAS provides state space modeling in a few different settings. SAS/ETS, the econometric and time series analysis module of the SAS system, contains many procedures that use state space models to analyze univariate and multivariate time series data. In addition, SAS/IML, an interactive matrix language in the SAS system, provides Kalman filtering and smoothing routines for stationary and nonstationary state space models. SAS/IML also provides support for linear algebra and nonlinear function optimization, which makes it a convenient environment for general-purpose state space modeling.
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- Jacques J. F. Commandeur & Siem Jan Koopman & Marius Ooms, . "Statistical Software for State Space Methods," Journal of Statistical Software, American Statistical Association, vol. 41(i01).
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