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dynamichazard (version 0.6.0)

Dynamic Hazard Models using State Space Models

Description

Contains functions that lets you fit dynamic hazard models using state space models. The first implemented model is described in Fahrmeir (1992) and Fahrmeir (1994) . Extensions hereof are available where the Extended Kalman filter is replaced by an unscented Kalman filter and other options including particle filters. The implemented particle filters support more general state space models.

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Install

install.packages('dynamichazard')

Monthly Downloads

253

Version

0.6.0

License

GPL-2

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Repository

https://github.com/boennecd/dynamichazard

Maintainer

Benjamin Christoffersen

Last Published

October 9th, 2018

Functions in dynamichazard (0.6.0)

Plot of Clouds From a PF_clouds Object

predict.ddhazard

Predict Method for ddhazard Object

Hard Drive Failures

plot.ddhazard_space_errors

State Space Error Plot

Auxiliary for Controlling Particle Fitting

get_survival_case_weights_and_data

Get data.frame for Discrete Time Survival Models

hatvalues.ddhazard

Hat Values for ddhazard Object

Plots for ddhazard Object

logLik.PF_clouds

Log Likelihood of a PF_clouds Object

print.summary.ddhazard

Summarizing Dynamic Hazard Models Fits

Plot for a PF_EM Object

logLik.ddhazard

Log Likelihood of Mean Path of ddhazard Object

print.ddhazard_boot

Summary Statistics for a ddhazard_boot Object

residuals.ddhazard

Residuals Method for ddhazard Object

Compute Time-Invariant Covariance Matrix

ddhazard_control

Auxiliary for Controlling Dynamic Hazard Models

Risk Set on an Equidistant Distant Grid

Fitting Dynamic Hazard Models

EM Estimation with Particle Filters and Smoothers

Bootstrap for ddhazard Object

PF_forward_filter

Forward Particle Filter

Auxiliary Functions for Fixed Effects