A MATLAB toolbox for time series analysis
What is E4 ?
E4 is a MATLAB Toolbox for time series modeling and analysis. Its name, E4, refers to the Spanish Estimación de modelos Econométricos en Espacio de los Estados, meaning "State-Space Estimation of Econometric Models".
E4 uses state-space methods to achieve flexibility and reliability. Despite its orientation to state-space, it also supports many standard time series models, such as VARMAX, structural econometric models or single-output transfer functions. These models can be estimated by exact maximum-likelihood, either under standard conditions or in an extended framework that allows for measurement errors, missing data, vector GARCH errors and constraints on the parameters.
The Toolbox also includes ready-to-use functions for model specification, preliminary parameter estimation, analytical computation of the likelihood gradient and the information matrix, simulation, forecasting and signal extraction.
E4 is free software. You can download it from:
If you feel that our contribution deserves an acknowledgement, you can do so by citing the following book in your works:
Jose Manuel Casals, Alfredo Garcia-Hiernaux, Miguel Jerez, Sonia Sotoca, Adao Alexandre Trindade: "State-Space Methods for Time Series Analysis: Theory, Applications and Software." Chapman and Hall/CRC. ISBN 9781482219593 - CAT# K22164