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13 lines
703 B
Plaintext
13 lines
703 B
Plaintext
Package KFAS provides funchtions for Kalman filtering, state,
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disturbance and simulation smoothing, forecasting and simulation
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of state space models. All functions can use exact diffuse
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initialisation when distributions of some or all elements of initial
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state vector are unknown. Filtering, state smoothing and simulation
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functions use sequential processing algorithm, which is faster than
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standard approach, and it also allows singularity of prediction
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error variance matrix. KFAS also contains function for computing
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the likelihood of exponential family state space models and function
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for state smoothing of exponential family state space models.
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WWW: https://cran.r-project.org/web/packages/KFAS/
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