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.
|Author||Benjamin Christoffersen [cre, aut], Alan Miller [cph], Anthony Williams [cph], Boost developers [cph], R-core [cph]|
|Maintainer||Benjamin Christoffersen <[email protected]>|
|Package repository||View on CRAN|
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