Time Series Modeling with MATLAB: The SSpace Toolbox

Abstract

SSpace is a MATLAB toolbox for State Space modelling that provides the user with tools for linear Gaussian, non-linear and non-Gaussian systems with the most advanced and up-to-date features available in any State Space framework. Great flexibility is achieved because each model is coded on a standard MATLAB function, thence having absolute control on particular parameterizations, parameter constraints, time variation of parameters or variances, arbitrary non-linear relations with inputs, time aggregation, nested models, system concatenation, etc. The toolbox may be used by specifying State Space systems from scratch or by using ready-to-use templates for standard methods (like VARMAX, exponential smoothing, unobserved components, dynamic linear regression, etc.). The toolbox is freely available via a public code repository with full documentation and help system. This chapter demonstrates the toolbox's potential with several examples.