KFAS v1.3.7

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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.

Functions in KFAS

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

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KFAS.Rnw
KFAS.bib
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Details

Date 2019-06-10
License GPL (>= 2)
BugReports https://github.com/helske/KFAS/issues
VignetteBuilder knitr
RoxygenNote 6.1.1
Encoding UTF-8
ByteCompile true
NeedsCompilation yes
Packaged 2019-06-10 07:06:40 UTC; jouhe21
Repository CRAN
Date/Publication 2019-06-10 08:50:03 UTC
suggests knitr , lme4 , MASS , Matrix , testthat
depends R (>= 3.1.0)
imports stats
Contributors

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