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CAPTAIN Toolbox website
Overview & availability
User interface & examples
Time variable parameter subset
Multivariable transfer function subset
Example applications
Click on the links below for some screenhots of the toolbox in action.
- Analysis of monthly air passenger series
(dynamic harmonic regression). - Analysis of advertising data
(dynamic linear regression). - Analysis of a signal with sawtooth changing frequency
(dynamic auto-regression). - Transfer Function analysis of simulated data
(instrumental variable estimation).
User interface
The toolbox includes numerous core algorithms for Kalman filtering, fixed interval smoothing and hyper-parameter optimisation. However, these tools are best accessed by utilising various top level "shells" which provide for ready estimation of the most common model types. For example, the function dhr allows for dynamic harmonic regression analysis, including signal extraction, interpolation and forecasting. Such shells provide two levels of help information, including a concise list of the required input and output arguments for experienced users and (optionally) more detailed background information for new users. Toolbox functions are called directly from the Matlab command window.
