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>.

Version: 0.1.2
Depends: R (≥ 3.5.0), stats, graphics
Imports: Rcpp, nloptr (≥ 1.2.0)
LinkingTo: Rcpp, RcppArmadillo, testthat, nloptr (≥ 1.2.0)
Suggests: testthat, microbenchmark, Ecdat
Published: 2019-08-08
Author: Benjamin Christoffersen [cre, aut], Anthony Williams [cph]
Maintainer: Benjamin Christoffersen <boennecd at gmail.com>
License: GPL-2
NeedsCompilation: yes
SystemRequirements: C++11
Materials: README NEWS
In views: TimeSeries
CRAN checks: mssm results

Downloads:

Reference manual: mssm.pdf
Package source: mssm_0.1.2.tar.gz
Windows binaries: r-devel: mssm_0.1.2.zip, r-release: mssm_0.1.2.zip, r-oldrel: mssm_0.1.2.zip
OS X binaries: r-release: mssm_0.1.2.tgz, r-oldrel: mssm_0.1.2.tgz
Old sources: mssm archive

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