dynamichazard: Dynamic Hazard Models using State Space Models

Contains functions that lets you fit dynamic hazard models using state space models. The first implemented model is described in Fahrmeir (1992) <doi:10.1080/01621459.1992.10475232> and Fahrmeir (1994) <doi:10.1093/biomet/81.2.317>. Extensions hereof are available where the Extended Kalman filter is replaced by an unscented Kalman filter. See Christoffersen (2021) <doi:10.18637/jss.v099.i07> for more details. Particle filters and smoothers are also supported more general state space models.

Comparing methods for time varying logistic models ddhazard Diagnostics Comparing methods for time varying logistic models ddhazard Diagnostics

Vignettes Man pages API and functions Files

Package details
Author	Benjamin Christoffersen [cre, aut] (<https://orcid.org/0000-0002-7182-1346>), Alan Miller [cph], Anthony Williams [cph], Boost developers [cph], R-core [cph]
Maintainer	Benjamin Christoffersen <boennecd@gmail.com>
License	GPL-2
Version	1.0.2
URL	https://github.com/boennecd/dynamichazard
Package repository	View on CRAN
Installation	Install the latest version of this package by entering the following in R: `install.packages("dynamichazard")`