发帖
雷达卡
主要用于金融和wavelet的分析。
TSM is a GAUSS library for time series modeling in both time domain and frequency domain and works in conjunction with the GAUSS Application - Optimization. It is primarily designed for the analysis and estimation of ARMA, VARX processes, state space models, fractional processes and structural models. To study these models, special tools have been developed like procedures for simulation, spectral analysis, Hankel matrices, etc. Estimation is based on the Maximum Likelihood principle and linear restrictions may be easily imposed.
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