KFAS: Kalman Filter and Smoother for Exponential Family State Space Models
Version 1.2.6

State space modelling is an efficient and flexible method for statistical inference of a broad class of time series and other data. KFAS includes fast 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.

Browse man pages Browse package API and functions Browse package files

AuthorJouni Helske <jouni.helske@jyu.fi>
Date of publication2017-04-19 00:19:24 UTC
MaintainerJouni Helske <jouni.helske@jyu.fi>
LicenseGPL (>= 2)
Version1.2.6
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("KFAS")

Man pages

alcohol: Alcohol related deaths in Finland 1969-2013
approxSSM: Linear Gaussian Approximation for Exponential Family State...
artransform: Mapping real valued parameters to stationary region
boat: Oxford-Cambridge boat race results 1829-2011
checkModel: Test whether object is a valid 'SSModel' object
coef.SSModel: Smoothed Estimates or One-step-ahead Predictions of States
Extract.SSModel: Extract or Replace Parts of a State Space Model
fitSSM: Maximum Likelihood Estimation of a State Space Model
fitted.SSModel: Smoothed Estimates or One-step-ahead Predictions of Fitted...
GlobalTemp: Two series of average global temperature deviations for years...
hatvalues.KFS: Extract Hat Values from KFS Output
importanceSSM: Importance Sampling of Exponential Family State Space Model
KFAS: KFAS: Functions for Exponential Family State Space Models
KFAS-defunct: Defunct Functions of Package KFAS
KFS: Kalman Filter and Smoother with Exact Diffuse Initialization...
ldl: LDL Decomposition of a Matrix
logLik.SSModel: Log-likelihood of the State Space Model.
mvInnovations: Multivariate Innovations
plot.SSModel: Diagnostic Plots of State Space Models
predict.SSModel: State Space Model Predictions
print.KFS: Print Ouput of Kalman Filter and Smoother
print.SSModel: Print SSModel Object
rename_states: Rename the States of SSModel Object
residuals.KFS: Extract Residuals of KFS output
rstandard.KFS: Extract Standardized Residuals from KFS output
sexratio: Number of males and females born in Finland from 1751 to 2011
signal: Extracting the Partial Signal Of a State Space Model
simulateSSM: Simulation of a Gaussian State Space Model
SSModel: Create a State Space Model Object of Class SSModel
transformSSM: Transform Multivariate State Space Model for Sequential...

Functions

GlobalTemp Man page
KFAS Man page
KFAS-defunct Man page
KFAS-package Man page
KFS Man page Source code
SSMarima Man page Source code
SSMcustom Man page Source code
SSMcycle Man page Source code
SSModel Man page Source code
SSMregression Man page Source code
SSMseasonal Man page Source code
SSMtrend Man page Source code
[.SSModel Man page
[<-.SSModel Man page
alcohol Man page
approxSSM Man page Source code
artransform Man page Source code
boat Man page
coef.KFS Man page Source code
coef.SSModel Man page Source code
deviance.KFS Man page Source code
fitSSM Man page Source code
fitted.KFS Man page Source code
fitted.SSModel Man page Source code
hatvalues.KFS Man page Source code
importanceSSM Man page Source code
initTheta Source code
interval Source code
is.SSModel Man page Source code
ldl Man page Source code
logLik Man page
logLik.SSModel Man page Source code
mvInnovations Man page Source code
pearson_standardized Source code
plot.SSModel Man page Source code
predict Man page
predict.SSModel Man page Source code
print.KFS Man page Source code
print.SSModel Man page Source code
recursive_standardized Source code
rename_states Man page Source code
residuals.KFS Man page Source code
rstandard.KFS Man page Source code
sexratio Man page
signal Man page Source code
simHelper Source code
simulateSSM Man page Source code
state_standardized Source code
subset.SSModel Man page Source code
subset<- Man page
subset<-.SSModel Man page
transformSSM Man page Source code
varianceFilter Source code
varianceSmoother Source code

Files

inst
inst/CITATION
inst/doc
inst/doc/KFAS.pdf
inst/doc/KFAS.Rnw
inst/doc/KFAS.R
tests
tests/testthat
tests/testthat/testBasics.R
tests/testthat/testStruct.R
tests/testthat/testImportanceSSM.R
tests/testthat/testMisc.R
tests/testthat/testNumerical.R
tests/testthat/testArima.R
tests/testthat/testSimulateSSM.R
tests/testthat/testPredict.R
tests/testthat/testLMM.R
tests/testthat/testGLM.R
tests/test-all.R
src
src/kfilter.f95
src/filter1stepnovar.f95
src/Makevars
src/artransform.f95
src/ngfilter.f95
src/approxloop.f95
src/smoothsim.f95
src/marginalxx.f95
src/cdistwrap.c
src/declarations.h
src/simgaussian.f95
src/simfilter.f95
src/ldlssm.f95
src/ldl.f95
src/gsmoothall.f95
src/kfstheta.f95
src/filtersimfast.f95
src/pytheta.f95
src/ngsmooth.f95
src/isamplefilter.f95
src/approx.f95
src/mvfilter.f95
src/covmeanw.f95
src/ngloglik.f95
src/smoothsimfast.f95
src/isample.f95
src/simgaussianuncond.f95
src/ptheta.f95
src/Makevars.win
src/init.c
src/predict.f95
src/smoothonestep.f95
src/gloglik.f95
src/filter1step.f95
NAMESPACE
data
data/GlobalTemp.rda
data/boat.rda
data/alcohol.rda
data/sexratio.rda
R
R/simulateSSM.R
R/rstandard.KFS.R
R/SSMtrend.R
R/transformSSM.R
R/fitSSM.R
R/SSMseasonal.R
R/residuals.KFS.R
R/print.objects.R
R/interval.R
R/plot.SSModel.R
R/simHelper.R
R/mvInnovations.R
R/artransform.R
R/fitted.KFS.R
R/logLik.SSModel.R
R/importanceSSM.R
R/SSMregression.R
R/initTheta.R
R/hatvalues.KFS.R
R/extract.SSModel.R
R/KFS.R
R/coef.KFS.R
R/SSModel.R
R/predict.SSModel.R
R/rename_states.R
R/SSMcycle.R
R/KFAS-package.R
R/SSMcustom.R
R/checkModel.R
R/approxSSM.R
R/signals.R
R/internalResids.R
R/SSMarima.R
R/ldl.R
R/KFAS-defunct.R
vignettes
vignettes/KFAS.Rnw
vignettes/KFAS.bib
MD5
build
build/vignette.rds
DESCRIPTION
ChangeLog
man
man/fitSSM.Rd
man/fitted.SSModel.Rd
man/ldl.Rd
man/transformSSM.Rd
man/importanceSSM.Rd
man/coef.SSModel.Rd
man/mvInnovations.Rd
man/KFAS.Rd
man/plot.SSModel.Rd
man/checkModel.Rd
man/KFS.Rd
man/boat.Rd
man/approxSSM.Rd
man/logLik.SSModel.Rd
man/KFAS-defunct.Rd
man/Extract.SSModel.Rd
man/rename_states.Rd
man/hatvalues.KFS.Rd
man/sexratio.Rd
man/predict.SSModel.Rd
man/print.KFS.Rd
man/SSModel.Rd
man/rstandard.KFS.Rd
man/artransform.Rd
man/simulateSSM.Rd
man/residuals.KFS.Rd
man/GlobalTemp.Rd
man/signal.Rd
man/print.SSModel.Rd
man/alcohol.Rd
KFAS documentation built on May 20, 2017, 5:31 a.m.