ANNOUNCEMENT April 28, 2000 An R version of my multivariate time series package (DSE) is now available in the devel area of CRAN. A short description follows below. The DSE bundle requires two other packages which are also available in the devel area of CRAN and may be of interest by themselves. The first, called syskern, provides a kernel of functions for S/R programmers. It is intended to help write code which is independent of operating system differences and some small differences between S and R. Users of different operating systems are encouraged to contribute. It also includes a mechanism for generating the same random sequences in S and R, which can be especially useful for testing other code. The second, called tframe, provides a mechanism to make time series programs independent of a data object's time representation. Using this it is possible to write code which can use new/better/different time representations when they appear. It also provides windowing, splicing, alternative plotting methods and some other utility functions specifically for time series work. DSE implements an object oriented approach to time series models. This means that different model representations can be added with fairly simple extensions to the library. The library includes multi-variate state space and ARMA models (including VAR models). Methods for simulating, estimating, and converting among different model representations form the base part of the library in dse1, the first package of the bundle. Methods for studying estimation methods and for examining the forecasting properties of models are in dse2, the second package in the bundle. The syskern package (and thus tframe and dse) requires R 1.0.1. I have run fairly extensive tests in Solaris and Linux. The code in syskern, tframe, dse1 and dse2 is reasonably stable. The code in dse3 is much less stable (and still largely undocumented). The help documentation has been automatically converted from an older system so that I can start to take advantage of R's capabilities for organizing and testing help documentation. However, the converted help has not yet been extensively examined and the original was out of date in some respects. For this reason I have put the package in the devel area of CRAN. Comments on errors and omissions are appreciated. The User's Guide for DSE is available at <http://www.bank-banque-canada.ca/pgilbert>. Paul Gilbert Head Statistician, Bank of Canada, Monetary and Financial Analysis Department pgilbert at bank-banque-canada.ca -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-announce mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-announce-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._