Related Publications

Related publications

The following references describe in detail many E4 functions:

Jerez, M., Casals, J. and S. Sotoca (2011) "Signal Extraction for Linear State-Space Models". Lambert Academic Publishing GmbH & Co. KG, Saarbrücken (Germany).

Garcia-Hiernaux, A., Casals, J. and M. Jerez (2011) "Estimating the System Order by Subspace Methods". Computational Statistics (forthcoming).

Casals, J., Jerez, M. and S. Sotoca (2010). "Decomposition of a State-Space Model with Inputs. Journal of Statistical Computation and Simulation, 80, 9, 979-992.

Garcia-Hiernaux, A., Casals, J. and M. Jerez (2010). "Unit roots and cointegration modeling through a family of flexible information criteria". Journal of Statistical Computation and Simulation, 80, 2, 173-189.

Casals, J., Jerez, M. and S. Sotoca (2009). "Modeling and Forecasting Time Series Sampled at Different Frequencies". Journal of Forecasting, 28, 4, 316-342.

Garcia-Hiernaux, A., Casals, J. and M. Jerez (2009) "Fast estimation methods for time series models in state-space form". Journal of Statistical Computation and Simulation, 79, 2, 121-134.

Casals, J., Jerez, M. and S. Sotoca (2007). "E⁴: A MATLAB Toolbox for Time Series Modeling". Mimeo.

Casals, J., Jerez, M. and S. Sotoca (2002). "An Exact Multivariate Model-Based Structural Decomposition". Journal of the American Statistical Association, 97, 458, 553-564.

Casals, J. and S. Sotoca (2001). "The exact likelihood for a state space model with stochastic inputs". Computers and Mathematics with Applications, 42, 199-209.

Casals, J., Jerez, M. and S. Sotoca (2000). "Exact smoothing for stationary and nonstationary time series". International Journal of Forecasting, 16, 1, 59-69.