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. See Christoffersen (2021) <doi:10.18637/jss.v099.i07> for more details. Particle filters and smoothers are also supported more general state space models.

install.packages("remotes")
remotes::install_github("boennecd/dynamichazard")