KFAS (version 1.5.1)

Kalman Filter and Smoother for Exponential Family State Space Models

Description

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) for details.

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Install

install.packages('KFAS')

Monthly Downloads

11,175

Version

1.5.1

License

GPL (>= 2)

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Last Published

September 5th, 2023

Functions in KFAS (1.5.1)