论文标题
ECCE Signum：用于多元信号提取和时间序列分析的R包装
Ecce Signum: An R Package for Multivariate Signal Extraction and Time Series Analysis
论文作者
论文摘要
该软件包提供了用于结构分析的多元时间序列模型，从而使人们可以提取潜在信号，例如趋势或季节性。使用最大似然估计拟合模型，允许非平稳性，固定的回归效应和破烂的边缘缺失值。可以使用熵最大化的设备校正简单的极端值类型。通过残留诊断来评估模型充分性，可以在时域和频域中评估基于模型的信号提取过滤器。提取的信号是通过不确定性度量产生的，这些措施可以解释样品边缘效应和缺失值，并且可以预测信号（以及原始时间序列）。
The package provides multivariate time series models for structural analysis, allowing one to extract latent signals such as trends or seasonality. Models are fitted using maximum likelihood estimation, allowing for non-stationarity, fixed regression effects, and ragged-edge missing values. Simple types of extreme values can be corrected using the device of entropy maximization. Model adequacy is assessed through residual diagnostics, and model-based signal extraction filters can be assessed in time domain and frequency domain. Extracted signals are produced with uncertainty measures that account for sample edge effects and missing values, and the signals (as well as the original time series) can be forecasted.
