Package: KFAS 1.6.0

KFAS: Kalman Filter and Smoother for Exponential Family State Space Models

State space modelling is an efficient and flexible framework for statistical inference of a broad class of time series and other data. KFAS includes computationally efficient functions for Kalman filtering, smoothing, forecasting, and simulation of multivariate exponential family state space models, with observations from Gaussian, Poisson, binomial, negative binomial, and gamma distributions. See the paper by Helske (2017) <doi:10.18637/jss.v078.i10> for details.

Authors:Jouni Helske [aut, cre]

KFAS_1.6.0.tar.gz
KFAS_1.6.0.zip(r-4.7)KFAS_1.6.0.zip(r-4.6)KFAS_1.6.0.zip(r-4.5)
KFAS_1.6.0.tgz(r-4.6-x86_64)KFAS_1.6.0.tgz(r-4.6-arm64)KFAS_1.6.0.tgz(r-4.5-x86_64)KFAS_1.6.0.tgz(r-4.5-arm64)
KFAS_1.6.0.tar.gz(r-4.7-arm64)KFAS_1.6.0.tar.gz(r-4.7-x86_64)KFAS_1.6.0.tar.gz(r-4.6-arm64)KFAS_1.6.0.tar.gz(r-4.6-x86_64)
KFAS_1.6.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
KFAS/json (API)

# Install 'KFAS' in R:
install.packages('KFAS', repos = c('https://helske.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/helske/kfas/issues

Uses libs:
  • openblas– Optimized BLAS
  • fortran– Runtime library for GNU Fortran applications
Datasets:
  • alcohol - Alcohol related deaths in Finland 1969-2013
  • boat - Oxford-Cambridge boat race results 1829-2011
  • GlobalTemp - Two series of average global temperature deviations for years 1880-1987
  • sexratio - Number of males and females born in Finland from 1751 to 2011

On CRAN:

Conda:

dynamic-linear-modelexponential-familyfortrangaussian-modelsstate-spacetime-seriesopenblas

11.08 score 73 stars 21 packages 360 scripts 9.0k downloads 8 mentions 21 exports 0 dependencies

Last updated from:87fbe8c136. Checks:13 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK132
linux-devel-x86_64OK139
source / vignettesOK191
linux-release-arm64OK133
linux-release-x86_64OK149
macos-release-arm64OK138
macos-release-x86_64OK317
macos-oldrel-arm64OK122
macos-oldrel-x86_64OK220
windows-develOK150
windows-releaseOK123
windows-oldrelOK148
wasm-releaseOK99

Exports:approxSSMartransformfitSSMimportanceSSMis.SSModelKFSldlmvInnovationsrename_statessignalsimulateSSMSSMarimaSSMbespokeSSMcustomSSMcycleSSModelSSMregressionSSMseasonalSSMtrendsubset<-transformSSM

Dependencies:

KFAS: Exponential Family State Space Models in R

Rendered fromKFAS.Rnwusingknitr::knitron May 21 2026.

Last update: 2025-05-19
Started: 2015-04-13

Readme and manuals

Help Manual

Help pageTopics
Extract or Replace Parts of a State Space Model[.SSModel [<-.SSModel
Alcohol related deaths in Finland 1969-2013alcohol
Linear Gaussian Approximation for Exponential Family State Space ModelapproxSSM
Mapping real valued parameters to stationary regionartransform
Oxford-Cambridge boat race results 1829-2011boat
Smoothed Estimates or One-step-ahead Predictions of Statescoef.KFS coef.SSModel
Confidence Intervals of Smoothed Statesconfint.KFS
Maximum Likelihood Estimation of a State Space ModelfitSSM
Smoothed Estimates or One-step-ahead Predictions of Fitted Valuesfitted.KFS fitted.SSModel
Two series of average global temperature deviations for years 1880-1987GlobalTemp
Extract Hat Values from KFS Outputhatvalues.KFS
Importance Sampling of Exponential Family State Space ModelimportanceSSM
Test whether object is a valid 'SSModel' objectis.SSModel
KFAS: Functions for Exponential Family State Space ModelsKFAS-package KFAS
Kalman Filter and Smoother with Exact Diffuse Initialization for Exponential Family State Space ModelsKFS
LDL Decomposition of a Matrixldl
Log-likelihood of the State Space Model.logLik logLik.SSModel
Multivariate InnovationsmvInnovations
Diagnostic Plots of State Space Modelsplot.SSModel
State Space Model Predictionspredict predict.SSModel
Print Ouput of Kalman Filter and Smootherprint.KFS
Print SSModel Objectprint.SSModel
Rename the States of SSModel Objectrename_states
Extract Residuals of KFS outputresiduals.KFS
Extract Standardized Residuals from KFS outputrstandard.KFS
Number of males and females born in Finland from 1751 to 2011sexratio
Extracting the Partial Signal Of a State Space Modelsignal
Simulation of a Gaussian State Space ModelsimulateSSM
Create a State Space Model Object of Class SSModelSSMarima SSMbespoke SSMcustom SSMcycle SSModel SSMregression SSMseasonal SSMtrend
Transform Multivariate State Space Model for Sequential ProcessingtransformSSM