Ox

Description

For economical time series quite a lot of Ox-packages exists. For State Space Models (Gaussian as well as non-Gaussian) the SsfPack package can be advantageous. Be aware though, that the non-Gaussian State Space model features are still very much under construction and undocumented - even though claimed otherwise by the authors in "Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives".

Disclaimer: Use of any code from this page is at own risk!

Emacs-Mode

A few hacks creating an Ox-mode in Emacs. This consists of adding an ox-mode to cc-mode.el where the ' (transpose operator) is removed from the syntax table and adding ox hi-lighting to font-lock.el.
Riccardo `Jack' Lucchetti sent me some diff files, which should automatically install the above Ox-mode. I have not tried it out myself, but here is what he writes.

Ox-Code

Dynamic Generalized Linear Models (DGLMs). The implementation uses the Iterative Weighted Kalman Filter and Smoother (IWKFS) described by Fahrmeir & Wagenpfeil, Penalized Liklihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models, Ludwig Maximilians Universität, München, 1995, Discussion Paper 5}, which is available from the net. An abstract base class called DGLM is used, which implements hook functions for h, D_t, Sigma_t.