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The UCM Procedure

  • Overview
  • Getting Started Getting Started
    A Seasonal Series with Linear Trend
  • Syntax Procedure Syntax
    Functional Summary PROC UCM Statement AUTOREG Statement BLOCKSEASON Statement BY Statement CYCLE Statement DEPLAG Statement ESTIMATE Statement FORECAST Statement ID Statement IRREGULAR Statement LEVEL Statement MODEL Statement NLOPTIONS Statement OUTLIER Statement RANDOMREG Statement SEASON Statement SLOPE Statement SPLINEREG Statement SPLINESEASON Statement
  • Details Procedure Details
    An Introduction to Unobserved Component Models The UCMs as State Space Models Outlier Detection Missing Values Parameter Estimation Computational Issues Displayed Output Statistical Graphics ODS Table Names ODS Graph Names OUTFOR= Data Set OUTEST= Data Set Statistics of Fit
  • Examples Procedure Examples
    The Airline Series Revisited Variable Star Data Modeling Long Seasonal Patterns Modeling Time-Varying Regression Effects Trend Removal Using the Hodrick-Prescott Filter Using Splines to Incorporate Nonlinear Effects Detection of Level Shift ARIMA Modeling
  • References
 

Details: UCM Procedure

  • An Introduction to Unobserved Component Models
  • The UCMs as State Space Models
  • Outlier Detection
  • Missing Values
  • Parameter Estimation
  • Computational Issues
  • Displayed Output
  • Statistical Graphics
  • ODS Table Names
  • ODS Graph Names
  • OUTFOR= Data Set
  • OUTEST= Data Set
  • Statistics of Fit
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