bssm

swMATH28273WikidataQ91626942 ScholiaQ91626942CRANbssmMaRDI QIDQ39987FDOQ39987

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

Matti Vihola, Jouni Helske

Last update: 27 October 2023

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

Software version identifier: 2.0.1, 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

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

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

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

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