KFAS

MaRDI QIDQ26559swMATHCRANFDO

Authors Jouni Helske

Last update 5 September 2023

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

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

Official website https://cran.r-project.org/web/packages/KFAS/index.html

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

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

Described by source

• Prediction and interpolation of time series by state space models

Cited in

(63)

• Improving timeliness and accuracy of estimates from the UK labour force survey
• On the parameter estimation in the Schwartz-Smith's two-factor model
• Time series analysis for the state-space model with R/Stan
• dlm
• MSBVAR
• timsac
• digest
• ChainLadder
• SsfPack
• STAMP
• pomp
• RHmm
• ECOTOOL
• SSpace
• glmpath
• cts
• FKF
• CAPTAIN
• SSMMATLAB
• sos
• bsts
• sde
• dynr
• LibBi
• vSMC
• Algorithm 675
• acp
• gamlss.util
• glarma
• MARSS
• repeated
• tsintermittent
• tscount
• dse
• sspir
• trajectories
• Mousetrap
• overlapping
• ssMousetrack
• StateSpaceModels
• walker
• FENmlm
• stlh
• mbsts
• dynamichazard
• onlineforecast
• countSTAR
• Bayesian forecasting with a regime-switching zero-inflated multilevel Poisson regression model: an application to adolescent alcohol use with spatial covariates
• Two filtering methods of forecasting linear and nonlinear dynamics of intensive longitudinal data
• TSPred
• tsPI
• dynamite
• CausalMBSTS
• pder
• Phase I risk-adjusted Bernoulli chart in multistage healthcare processes based on the state-space model
• sectorgap
• tspredit
• RGAP
• NGSSEML
• Ecce Signum
• GPS2space
• Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA
• Identification of spikes in time series

This page was built for software: KFAS