KFAS: Kalman Filter and Smoother for Exponential Family State Space Models

By Jouni Helske in R Package State Space Models

May 1, 2021

State space modelling is an efficient and flexible framework for statistical inference of a broad class of time series and other data. KFAS includes computationally efficient functions for Kalman filtering, smoothing, forecasting, and simulation of multivariate exponential family state space models, with observations from Gaussian, Poisson, binomial, negative binomial, and gamma distributions. See the paper by Helske (2017) doi:10.18637/jss.v078.i10 for details.

Posted on:
May 1, 2021
1 minute read, 61 words
R Package State Space Models
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