multivariate time series package

[Paul Gilbert]

                     ANNOUNCEMENT            April 28, 2000

An R version of my multivariate time series package (DSE) is now available in
the devel area of CRAN. A short description follows below. The DSE bundle
requires two other packages which are also available in the devel area of CRAN
and may be of interest by themselves.

The first, called syskern, provides a kernel of functions for S/R programmers.
It is intended to help write code which is independent of operating system
differences and some small differences between S and R. Users of different
operating systems are encouraged to contribute. It also includes a mechanism for
generating the same random sequences in S and R, which can be especially useful
for testing other code.

The second, called tframe, provides a mechanism to make time series programs
independent of a data object's time representation. Using this it is possible to
write code which can use new/better/different time representations when they
appear. It also provides windowing, splicing, alternative plotting methods and
some other utility functions specifically for time series work.

DSE implements an object oriented approach to time series models. This means
that different model representations can be added with fairly simple extensions
to the library. The library includes multi-variate state space and ARMA models
(including VAR models).

Methods for simulating, estimating, and converting among different model
representations form the base part of the library in dse1, the first package of
the bundle. Methods for studying estimation methods and for examining the
forecasting properties of models are in dse2, the second package in the bundle.

The syskern package (and thus tframe and dse) requires R 1.0.1.  I have run
fairly extensive tests in Solaris and Linux. The code in syskern, tframe, dse1
and dse2 is reasonably stable. The code in dse3 is much less stable (and still
largely undocumented).

The help documentation has been automatically converted from an older system so
that I can start to take advantage of R's capabilities for organizing and
testing help documentation. However, the converted help has not yet been
extensively examined and the original was out of date in some respects. For this
reason I have put the package in the devel area of CRAN. Comments on errors and
omissions are appreciated.

The User's Guide for DSE is available at
<http://www.bank-banque-canada.ca/pgilbert>.


Paul Gilbert
Head Statistician, Bank of Canada,
Monetary and Financial Analysis Department
pgilbert at bank-banque-canada.ca



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