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Time Series Modeling with MATLAB: The SSpace Toolbox

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Theory and Applications of Time Series Analysis (ITISE 2018)

Part of the book series: Contributions to Statistics ((CONTRIB.STAT.))

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Abstract

SSpace is a MATLAB toolbox for State-Space modeling that provides the user with tools for linear Gaussian, nonlinear, 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 nonlinear 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.

This work was supported by the European Regional Development Fund and Spanish Government (MINECO/FEDER, UE) under the project with reference DPI2015-64133-R and by the Vicerrectorado de Investigación y Polí­tica Científica from UCLM by DOCM 31/07/2014 [2014/10340].

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Author information

Authors and Affiliations

  1. Industrial Engineering Politecnic, University of Castilla-La Mancha, 13071, Ciudad Real, Spain

    Diego J. Pedregal, Marco A. Villegas & Diego A. Villegas

  2. Faculty of Chemical Sciences and Technologies, University of Castilla-La Mancha, 13071, Ciudad Real, Spain

    Juan R. Trapero

Authors
  1. Diego J. Pedregal
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  2. Marco A. Villegas
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  3. Diego A. Villegas
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  4. Juan R. Trapero
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Corresponding author

Correspondence to Diego J. Pedregal .

Editor information

Editors and Affiliations

  1. Faculty of Sciences, University of Granada, Granada, Spain

    Olga Valenzuela

  2. ETSIIT, CITIC-UGR, University of Granada, Granada, Spain

    Fernando Rojas

  3. ETSIIT, CITIC-UGR, University of Granada, Granada, Spain

    Héctor Pomares

  4. ETSIIT, CITIC-UGR, University of Granada, Granada, Spain

    Ignacio Rojas

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Pedregal, D.J., Villegas, M.A., Villegas, D.A., Trapero, J.R. (2019). Time Series Modeling with MATLAB: The SSpace Toolbox. In: Valenzuela, O., Rojas, F., Pomares, H., Rojas, I. (eds) Theory and Applications of Time Series Analysis. ITISE 2018. Contributions to Statistics. Springer, Cham. https://doi.org/10.1007/978-3-030-26036-1_6

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