Package: KFAS 1.5.1

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_1.5.1.tar.gz
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KFAS.pdf |KFAS.html✨
KFAS/json (API)

Peer review:

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

On CRAN:

dynamic-linear-modelexponential-familyfortrangaussian-modelsstate-spacetime-series

20 exports 64 stars 4.78 score 0 dependencies 16 dependents 8 mentions 195 scripts 7.7k downloads

Last updated 10 days agofrom:9b29f8e7d9. Checks:OK: 9. Indexed: yes.

Exports:approxSSMartransformfitSSMimportanceSSMis.SSModelKFSldlmvInnovationsrename_statessignalsimulateSSMSSMarimaSSMcustomSSMcycleSSModelSSMregressionSSMseasonalSSMtrendsubset<-transformSSM

Dependencies: