A set of MATLAB and OCTAVE programs for the statistical analysis of linear time series using mainly state space methods
To install SSMMATLAB, uncompress the file ssmmatlab_2025_03.zip in the TOOLBOX directory and copy its contents into a directory, for example SSMMATLAB. There should be 453 files with extension m (MATLAB m-files). There should also be five subdirectories with names DATA, GRAPHS, RESULTS, SPEC, and USMSPEC. All the data files used in the demos are in the subdirectory DATA. The subdirectory GRAPHS is where sometimes graphs are written. The subdirectory RESULTS is where sometimes program results are written. In the subdirectory SPEC, you can find all specification files for the different ARIMA and transfer function demos. That is, each specification file contains instructions to read data, generate structures, etc. Finally, the subdirectory USMSPEC has the same purpose than the subdirectory SPEC but for univariate structural models.
The files ending in d_m contain demos, many of which are described in the new book 'Linear Time Series With MATLAB and OCTAVE' forthcoming in Springer Verlag, Statistics and Computing series.
If the user desires to work in a directory different to the one in which SSMMATLAB has been installed, he should first add to the MATLAB path the directory where SSMMATLAB has been installed. Then, if the new directory in which the user intends to work is called WORK, for example, the user can start working with SSMMATLAB without having to create any subdirectory. Depending on the programs that are run, sometimes graphs or reports are written into the subdirectories GRAPHS or RESULTS, respectively, that are automatically created by the programs if they do not already exist. In addition, if the user intends to call functions arimaestos or usmestos, he should previously create the subdirectories SPEC and USMSPEC, respectively, where he should write the required specification functions, as described in the book mentioned earlier.
All the functions in SSMMATLAB have been proved to also run under the free software OCTAVE platform.