Kalman filter and smoothers for exponential family state space
models.
Description
Package KFAS provides functions for Kalman filtering,
state, disturbance and simulation smoothing, forecasting and
simulation of state space models. All functions can use exact
diffuse initialisation when distributions of some or all
elements of initial state vector are unknown. Filtering, state
smoothing and simulation functions use sequential processing
algorithm, which is faster than standard approach, and it also
allows singularity of prediction error variance matrix. KFAS
also contains function for computing the likelihood of
exponential family state space models and function for state
smoothing of exponential family state space models.