KFAS: Kalman Filter and Smoother for Exponential Family State Space Models
Version 1.3.1

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.

Package details

AuthorJouni Helske <[email protected]>
Date of publication2018-01-04 14:50:00 UTC
MaintainerJouni Helske <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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KFAS documentation built on Jan. 4, 2018, 5:11 p.m.