Peng, Jyh-Ying; Aston, John A. D. - In: Journal of Statistical Software 41 (2011) i06
State Space Models (SSM) is a MATLAB toolbox for time series analysis by state space methods. The software features … software includes standard functions for Kalman fil- tering and smoothing, simulation smoothing, likelihood evaluation …, and support for missing observations and multiple time series input with com- mon analysis structure. The software also …