KFAS (Q26559)
From MaRDI portal
Kalman Filter and Smoother for Exponential Family State Space Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | KFAS |
Kalman Filter and Smoother for Exponential Family State Space Models |
Statements
5 September 2023
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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.
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expanded from: GPL (≥ 2) (English)
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Identifiers
13 September 2023
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