KFAS

swMATH14662CRANKFASMaRDI QIDQ26559

Kalman Filter and Smoother for Exponential Family State Space Models

Jouni Helske

Last update: 5 September 2023

Software version identifier: 1.5.0, 0.3.1, 0.3.2, 0.3.3, 0.4.1, 0.4.2, 0.4.3, 0.4.4, 0.4.5, 0.4.6, 0.4.7, 0.4.8, 0.4.9, 0.5.0, 0.5.1, 0.5.2, 0.5.3, 0.5.4, 0.5.5, 0.5.6, 0.5.7, 0.5.8, 0.5.9, 0.6.0, 0.6.1, 0.9.9, 0.9.11, 1.0.2, 1.0.3, 1.0.4-1, 1.0.4, 1.1.0, 1.1.1, 1.1.2, 1.2.0, 1.2.1, 1.2.2, 1.2.3, 1.2.4, 1.2.5, 1.2.6, 1.2.8, 1.2.9, 1.3.0, 1.3.1, 1.3.2, 1.3.3, 1.3.4, 1.3.5, 1.3.6, 1.3.7, 1.4.0, 1.4.1, 1.4.2, 1.4.4, 1.4.5, 1.4.6, 1.5.1

Source code repository: https://github.com/cran/KFAS

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

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) <doi:10.18637/jss.v078.i10> for details.

Cites work

• KFAS: Exponential Family State Space Models in R