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 and other options including particle filters. The implemented particle filters support more general state space models.

Package details

AuthorBenjamin Christoffersen [cre, aut], Alan Miller [cph], Anthony Williams [cph], Boost developers [cph], R-core [cph]
MaintainerBenjamin Christoffersen <[email protected]>
LicenseGPL-2
Version0.6.3
URL https://github.com/boennecd/dynamichazard
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("dynamichazard")

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dynamichazard documentation built on Jan. 11, 2019, 5:07 p.m.