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TSM (Time Series and Wavelets for Finance)
Author：        T. Roncalli
Date：          1996
Summary
TSM is a GAUSS library for time series modeling in both time domain and frequency domain. It is primarily designed for the analysis and estimation of ARMA, VARX processes, state space models, fractional processes and structural models. To study these models, special tools have been developed like procedures for simulation, spectral analysis, Hankel matrices, etc. Estimation is based on the Maximum Likelihood principle or Gnereralized Method of Moments and linear restrictions may be easily imposed. It also contains several filtering methods (Kalman Filter, FLS and GFLS) and several procedures for Time-Frequency analysis of 1-D signal (wavelet analysis and wavelet packet analysis).


外加 例子讲解
可以自己google。 不想自己Google下载，可以在这下载，不过就象征性的征收1论坛币