bssm (Q39987)

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Bayesian Inference of Non-Linear and Non-Gaussian State Space Models
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bssm
Bayesian Inference of Non-Linear and Non-Gaussian State Space Models

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    2.0.1
    3 May 2022
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    0.1.0
    25 June 2017
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    0.1.1-1
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    0.1.1
    27 June 2017
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    22 November 2017
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    0.1.3
    25 January 2018
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    23 May 2018
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    0.1.6-1
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    25 September 2019
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    1.0.0
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    1.0.1-1
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    1.1.0
    20 January 2021
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    1.1.2
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    1.1.3-1
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    1.1.3-2
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    13 April 2021
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    10 July 2021
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    6 September 2021
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    1.1.7-1
    21 September 2021
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    1.1.7
    20 September 2021
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    2.0.0
    26 November 2021
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    2.0.1
    4 May 2022
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    2.0.2
    27 October 2023
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    27 October 2023
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    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.
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