mssm: Multivariate State Space Models

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

AuthorBenjamin Christoffersen [cre, aut] (<https://orcid.org/0000-0002-7182-1346>), Anthony Williams [cph]
MaintainerBenjamin Christoffersen <boennecd@gmail.com>
LicenseGPL-2
Version0.1.6
URL https://github.com/boennecd/mssm
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("mssm")

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mssm documentation built on Jan. 31, 2022, 9:08 a.m.