Fortran API

The library is a set of Fortran 2018 modules. use statespace imports the whole public interface; the modules can also be used one at a time.

Conventions

• Reals are real(dp), 64-bit (statespace_kinds).

• Arrays are column-major with time as the last dimension. A system matrix has a time dimension of 1 (time-invariant) or n (time-varying); tidx(nt, t) gives the slice for period t.

• Periods and indices are 1-based.

• Routines that can fail have an info argument set to a status code (SS_OK or SS_ERR_*, statespace_kinds). They do not stop the program.

• Missing observations are NaN in y.

• References such as “DK §4.3” are to Durbin and Koopman (2012).

Modules

Model and algorithms, in dependency order:

• statespace_kinds
• statespace_rep
• statespace_filter
• statespace_smoother
• statespace_forecast
• statespace_simsmooth
• statespace_smoothing
• statespace_augmented
• statespace_sqrt
• statespace_collapse
• statespace_restrict
• statespace_dense

Models, estimation and diagnostics:

• statespace_model
• statespace_mle
• statespace_score
• statespace_em
• statespace_components
• statespace_structural
• statespace_arima
• statespace_mapped
• statespace_callback
• statespace_diagnostics

Numerical support:

• statespace_linalg
• statespace_special

The C interface (statespace_capi*) is described in C interface.