Provides methods to perform parameter estimation and make analysis of multivariate observed outcomes through time which depends on a latent state variable. All methods scale well in the dimension of the observed outcomes at each time point. The package contains an implementation of a Laplace approximation, particle filters like suggested by Lin, Zhang, Cheng, & Chen (2005) <doi:10.1198/016214505000000349>, and the gradient and observed information matrix approximation suggested by Poyiadjis, Doucet, & Singh (2011) <doi:10.1093/biomet/asq062>.
Package details |
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Author | Benjamin Christoffersen [cre, aut] (<https://orcid.org/0000-0002-7182-1346>), Anthony Williams [cph] |
Maintainer | Benjamin Christoffersen <boennecd@gmail.com> |
License | GPL-2 |
Version | 0.1.6 |
URL | https://github.com/boennecd/mssm |
Package repository | View on CRAN |
Installation |
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