metran
stable

Contents:

  • Getting Started
    • Installing Metran
    • Basic usage
  • Concepts
    • The Dynamic Factor Model
      • 1. Basic multivariate AR(1) model
      • 2. Generate synthetic correlated time series
      • 3. The Dynamic Factor Model
      • 4. Standardization
      • 5. Running the model
        • 5.1 Factors, communality and specificity
        • 5.2 Estimating AR(1) parameters
        • 5.3 Metran report
      • 6. Checking the estimated AR(1) parameters
      • 7. Decomposition of series
      • References
  • Examples
    • Metran practical example
      • Read example data
      • Create Metran model
      • Visualizing and accessing Metran results
        • Scree plot
        • State means
        • Simulations
        • Decompositions
      • Example application: removing outliers
      • References
    • Pastas and Metran example
      • Read data
      • Build time series models
      • Build Metran model
  • API-docs
    • Metran
      • Metran
        • Metran._get_file_info()
        • Metran._get_matrices()
        • Metran._init_kalmanfilter()
        • Metran._phi()
        • Metran._run_kalman()
        • Metran.decompose_simulation()
        • Metran.fit_report()
        • Metran.get_communality()
        • Metran.get_factors()
        • Metran.get_mle()
        • Metran.get_observation_matrix()
        • Metran.get_observation_variance()
        • Metran.get_observations()
        • Metran.get_parameters()
        • Metran.get_scaled_observation_matrix()
        • Metran.get_simulated_means()
        • Metran.get_simulated_variances()
        • Metran.get_simulation()
        • Metran.get_specificity()
        • Metran.get_state()
        • Metran.get_state_means()
        • Metran.get_state_variances()
        • Metran.get_transition_covariance()
        • Metran.get_transition_matrix()
        • Metran.get_transition_variance()
        • Metran.mask_observations()
        • Metran.metran_report()
        • Metran.nparam
        • Metran.nstate
        • Metran.set_init_parameters()
        • Metran.set_observations()
        • Metran.solve()
        • Metran.standardize()
        • Metran.test_cross_section()
        • Metran.truncate()
        • Metran.unmask_observations()
    • Factor Analysis
      • FactorAnalysis
        • FactorAnalysis.get_eigval_weight()
        • FactorAnalysis.solve()
    • Kalman Filter
      • SPKalmanFilter
        • SPKalmanFilter.decompose()
        • SPKalmanFilter.get_mle()
        • SPKalmanFilter.init_states()
        • SPKalmanFilter.run_filter()
        • SPKalmanFilter.run_smoother()
        • SPKalmanFilter.set_matrices()
        • SPKalmanFilter.set_observations()
        • SPKalmanFilter.simulate()
      • filter_predict()
      • filter_update()
      • kalmansmoother()
      • seqkalmanfilter()
      • seqkalmanfilter_np()
    • Solvers
      • BaseSolver
        • BaseSolver.mt
        • BaseSolver.objfunction()
      • LmfitSolve
        • LmfitSolve.solve()
      • ScipySolve
        • ScipySolve.solve()
    • Plots
      • MetranPlot
        • MetranPlot.decomposition()
        • MetranPlot.decompositions()
        • MetranPlot.scree_plot()
        • MetranPlot.simulation()
        • MetranPlot.simulations()
        • MetranPlot.state_means()
metran
  • Overview: module code

All modules for which code is available

  • metran.factoranalysis
  • metran.kalmanfilter
  • metran.metran
  • metran.plots
  • metran.solver

© Copyright 2021, W.L. Berendrecht. Revision f9908399.

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