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

Raphael Saavedra, Guilherme Bodin, Mario Souto
8/5/2019
stat.COmath.OC

Official code: LAMPSPUC/StateSpaceModels.jl (290 stars, MIT, last commit 2026-03-19).

Abstract

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.

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Code Implementations(1)

LAMPSPUC/StateSpaceModels.jlOfficial100%
MIT

StateSpaceModels.jl is a Julia package for time-series analysis using state-space models.

29030JuliaJan 15, 20187 months agoMIT
econometricsexponential-smoothingforecastingjulia-languagekalman-filter+6 more

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Cite this paper

@article{saavedra2019statespacemodelsjl,
  title  = {StateSpaceModels.jl: a Julia Package for Time-Series Analysis in a State-Space Framework},
  author = {Raphael Saavedra and Guilherme Bodin and Mario Souto},
  year   = {2019},
  eprint = {1908.01757},
  archivePrefix = {arXiv},
  url    = {https://arxiv.org/abs/1908.01757}
}

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