ClausDethlefsen/sspir: State Space Models in R
A glm-like formula language to define dynamic generalized linear models (state space models). Includes functions for Kalman filtering and smoothing. Estimation of variance matrices can be performed using the EM algorithm in case of Gaussian models. Read help(sspir) to get started. The method is described in Dethlefsen and Lundbye-Christensen (2006) <doi:10.18637/jss.v016.i01>.
Getting started
Browse package contents
Package details |
|
|---|---|
| Author | Claus Dethlefsen, \enc{Søren}{Soren} Lundbye-Christensen and Anette Luther Christensen |
| Maintainer | Claus Dethlefsen <claus.dethlefsen@gmail.com> |
| License | GPL (>= 2) |
| Version | 0.3.1 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
|
