E4 Toolbox - MATLAB para análisis de series temporales en espacio de estados (EMLEC - UCM)

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, unobserved components, and many others.

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, signal extraction, and more.

E4 is free software. You can download it from: https://www.ucm.es/e-4/

You are allowed to redistribute and/or modify E4 under the terms of the GNU General Public License (GPL) as published by the Free Software Foundation.

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. CRC Press, 2016.

See this book at Taylor & Francis, CRC Press, or download free supplementary materials from the book microsite.