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The UCM Procedure
Overview
Getting Started
A Seasonal Series with Linear Trend
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
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
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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