Time Series MT 3.1.1 Update

by Eric · Published July 17, 2022 · Updated July 18, 2022

Introduction

The GAUSS TSMT application module provides a comprehensive suite of tools for MLE and state-space estimation, model diagnostics, and forecasting of univariate, multivariate, and nonlinear time series models.

The latest Time Series MT (TSMT) 3.1. is now available. If you own TSMT 3.0 the update is available for free.

Installation

The TSMT update requires GAUSS 20+ and can be installed using the GAUSS Package Manager.

Change Log

1. New function: A new tsdiff function replaces vmdiffmt and vmsdiffmt for differencing time series data.
2. Enhancement: Significant speed enhancements made to the Kalman filtering routine.
3. Documentation: New online TSMT command reference library posted.
4. Bug Fix: Removed extra zero value element from the Kalman filter log-likelihood vector.
5. Bug Fix: The arimaSS and sarimaSS ML covariance computation was turned on.