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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 


Author  Benjamin Christoffersen [cre, aut], Alan Miller [cph], Anthony Williams [cph], Boost developers [cph], Rcore [cph] 
Maintainer  Benjamin Christoffersen <[email protected]> 
License  GPL2 
Version  0.6.3 
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:

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