KFAS

swMATH14662CRANKFASMaRDI QIDQ26559FDOQ26559

Kalman Filter and Smoother for Exponential Family State Space Models

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

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

Cited In (19)

• sectorgap
• tspredit
• RGAP
• CausalMBSTS
• Time Series Analysis for the State-Space Model with R/Stan
• Improving timeliness and accuracy of estimates from the UK labour force survey
• 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
• MARSS
• rucm
• walker
• Phase I risk-adjusted Bernoulli chart in multistage healthcare processes based on the state-space model
• mbsts
• countSTAR
• On the Parameter Estimation in the Schwartz-Smith’s Two-Factor Model
• Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA
• Identification of spikes in time series
• TSPred
• tsPI

This page was built for software: KFAS