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bayesSSM: Bayesian Methods for State Space Models
Implements methods for Bayesian analysis of State Space Models. Includes implementations of the Particle Marginal Metropolis-Hastings algorithm described in Andrieu et al. (2010) <doi:10.1111/j.1467-9868.2009.00736.x> and automatic tuning inspired by Pitt et al. (2012) <doi:10.1016/j.jeconom.2012.06.004> and J. Dahlin and T. B. Schön (2019) <doi:10.18637/jss.v088.c02>.
Package details |
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| Author | Bjarke Hautop [aut, cre, cph] |
| Maintainer | Bjarke Hautop <bjarke.hautop@gmail.com> |
| License | MIT + file LICENSE |
| Version | 0.6.1 |
| URL | https://github.com/BjarkeHautop/bayesSSM https://bjarkehautop.github.io/bayesSSM/ |
| Package repository | View on CRAN |
| Installation |
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