R interface for states space models

The R language is widely used among statisticians and data analysts. Here we describe an R interface that will allow R users to access the state-space functionalities of JDemetra+. This interface can be used to develop and estimate models that can be written in a general state-space form. In order to use this package, one needs to save it and install the rjava package, which enables the connection between R and Java.

Quick steps to define a model

  • Install rJava
  • Install our package
  • Go directly to the examples

Content of the package

  1. Functions to specify the transition equation
  2. Functions to specify the measurement equation
  3. Algorithms
  4. Examples