Kalman Filter and Smoother for Exponential Family State Space Models.

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Documentation for package ‘KFAS’ version 0.9.11

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KFAS-package KFAS: Functions for Gaussian and Non-Gaussian State Space Models
+.SSModel Combine State Space Model Objects of class 'SSModel'
approxSSM Linear Gaussian Approximation for Non-Gaussian State Space Model
arimaSSM Create a State Space Representation of ARIMA Model
boat Oxford-Cambridge boat race results 1829-2000
fitSSM Maximum Likelihood Estimation of a State Space Model
GlobalTemp Two series of average global temperature deviations for years 1880-1987
importanceSSM Importance Sampling of Non-Gaussian State Space Model
KFAS KFAS: Functions for Gaussian and Non-Gaussian State Space Models
KFS Kalman Filter and Smoother with Exact Diffuse Initialization for Exponential Family State Space Models
ldl LDL Decomposition of a Matrix
logLik Log-likelihood of the State Space Model.
logLik.SSModel Log-likelihood of the State Space Model.
plot.approxSSM Plot Approximating Gaussian State Space Model
plot.KFS Plot Ouput of Kalman Filter and Smoother
predict Estimate the Missing Observations of a State Space Model
predict.KFS Estimate the Missing Observations of a State Space Model
print.KFS Print Ouput of Kalman Filter and Smoother
print.SSModel Print SSModel Object
regSSM Create a State Space Model Representation of Linear Regression Model
residuals.KFS Extract Standardized Residuals of Kalman Filter and Smoother output
signal Extract the filtered or smoothed signal of a State Space Model
simulateSSM Simulation of a Gaussian State Space Model
SSModel Create a State Space Model Object of class 'SSModel'
structSSM Create a Structural Time Series State Space Model
transformSSM Transform the SSModel object with multivariate observations