boennecd/dynamichazard: Dynamic Hazard Models using State Space Models

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.

Getting started

Package details

Maintainer
LicenseGPL-2
Version0.6.8
URL https://github.com/boennecd/dynamichazard
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("boennecd/dynamichazard")
boennecd/dynamichazard documentation built on Feb. 16, 2021, 7:25 a.m.