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]

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KFAS.pdf |KFAS.html✨
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:

GlobalTemp - Two series of average global temperature deviations for years 1880-1987
alcohol - Alcohol related deaths in Finland 1969-2013
boat - Oxford-Cambridge boat race results 1829-2011
sexratio - Number of males and females born in Finland from 1751 to 2011

On CRAN:

dynamic-linear-model exponential-family fortran gaussian-models state-space time-series

10.83 score 64 stars 16 packages 205 scripts 13k downloads 8 mentions 20 exports 0 dependencies

Last updated 2 months agofrom:9b29f8e7d9. Checks:OK: 9. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Nov 07 2024
R-4.5-win-x86_64	OK	Nov 07 2024
R-4.5-linux-x86_64	OK	Nov 07 2024
R-4.4-win-x86_64	OK	Nov 07 2024
R-4.4-mac-x86_64	OK	Nov 07 2024
R-4.4-mac-aarch64	OK	Nov 07 2024
R-4.3-win-x86_64	OK	Nov 07 2024
R-4.3-mac-x86_64	OK	Nov 07 2024
R-4.3-mac-aarch64	OK	Nov 07 2024

Exports:approxSSM artransform fitSSM importanceSSM is.SSModel KFS ldl mvInnovations rename_states signal simulateSSM SSMarima SSMcustom SSMcycle SSModel SSMregression SSMseasonal SSMtrend subset<-transformSSM

Dependencies:

KFAS: Exponential Family State Space Models in R

Rendered fromKFAS.Rnwusingknitr::knitron Nov 07 2024.

Last update: 2020-12-06
Started: 2015-04-13

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Extract or Replace Parts of a State Space Model	[.SSModel [<-.SSModel
Alcohol related deaths in Finland 1969-2013	alcohol
Linear Gaussian Approximation for Exponential Family State Space Model	approxSSM
Mapping real valued parameters to stationary region	artransform
Oxford-Cambridge boat race results 1829-2011	boat
Smoothed Estimates or One-step-ahead Predictions of States	coef.KFS coef.SSModel
Confidence Intervals of Smoothed States	confint.KFS
Maximum Likelihood Estimation of a State Space Model	fitSSM
Smoothed Estimates or One-step-ahead Predictions of Fitted Values	fitted.KFS fitted.SSModel
Two series of average global temperature deviations for years 1880-1987	GlobalTemp
Extract Hat Values from KFS Output	hatvalues.KFS
Importance Sampling of Exponential Family State Space Model	importanceSSM
Test whether object is a valid 'SSModel' object	is.SSModel
KFAS: Functions for Exponential Family State Space Models	KFAS-package KFAS
Kalman Filter and Smoother with Exact Diffuse Initialization for Exponential Family State Space Models	KFS
LDL Decomposition of a Matrix	ldl
Log-likelihood of the State Space Model.	logLik logLik.SSModel
Multivariate Innovations	mvInnovations
Diagnostic Plots of State Space Models	plot.SSModel
State Space Model Predictions	predict predict.SSModel
Print Ouput of Kalman Filter and Smoother	print.KFS
Print SSModel Object	print.SSModel
Rename the States of SSModel Object	rename_states
Extract Residuals of KFS output	residuals.KFS
Extract Standardized Residuals from KFS output	rstandard.KFS
Number of males and females born in Finland from 1751 to 2011	sexratio
Extracting the Partial Signal Of a State Space Model	signal
Simulation of a Gaussian State Space Model	simulateSSM
Create a State Space Model Object of Class SSModel	SSMarima SSMcustom SSMcycle SSModel SSMregression SSMseasonal SSMtrend
Transform Multivariate State Space Model for Sequential Processing	transformSSM