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

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.

Install the latest version of this package by entering the following in R:
install.packages("KFAS")
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

View on CRAN

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

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

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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All documentation is copyright its authors; we didn't write any of that.