bssm

MaRDI QIDQ7383150CRANWikidataFDO

Authors Jouni Helske, Matti Vihola

Last update 24 September 2025

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

Software version identifier PACKAGES.rds, 0.1.0, 0.1.1-1, 0.1.1, 0.1.2, 0.1.3, 0.1.4, 0.1.5, 0.1.6-1, 0.1.7, 0.1.8-1, 0.1.8, 0.1.9, 0.1.10, 0.1.11, 1.0.0, 1.0.1-1, 1.1.0, 1.1.2, 1.1.3-1, 1.1.3-2, 1.1.4, 1.1.5, 1.1.6, 1.1.7-1, 1.1.7, 2.0.0, 2.0.1, 2.0.2, 2.0.3

Description

Efficient methods for Bayesian inference of state space models via Markov chain Monte Carlo (MCMC) based on parallel importance sampling type weighted estimators (Vihola, Helske, and Franks, 2020, <doi:10.1111/sjos.12492>), particle MCMC, and its delayed acceptance version. Gaussian, Poisson, binomial, negative binomial, and Gamma observation densities and basic stochastic volatility models with linear-Gaussian state dynamics, as well as general non-linear Gaussian models and discretised diffusion models are supported. See Helske and Vihola (2021, <doi:10.32614/RJ-2021-103>) for details.

Cites work

• bssm: Bayesian Inference of Non-linear and Non-Gaussian State Space Models in R
• Importance sampling type estimators based on approximate marginal Markov chain Monte Carlo

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