« Snap job | Main | SURSE »

Statespace is SAS

Statespace in SAS/ETS.

The STATESPACE procedure analyzes and forecasts multivariate
time series using the state space model. The STATESPACE procedure
is appropriate for jointly forecasting several related time series that
have dynamic interactions. By taking into account the autocorrelations
among the whole set of variables, the STATESPACE procedure may
give better forecasts than methods that model each series separately.


TrackBack URL for this entry:

Post a comment

(If you haven't left a comment here before, you may need to be approved by the site owner before your comment will appear. Until then, it won't appear on the entry. Thanks for waiting.)