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KFAS

swMATH ID: 14662
Software Authors: Helske, J
Description: R package. KFAS: Kalman Filter and Smoother for Exponential Family State Space Models. Functions for Kalman filtering, smoothing, forecasting and simulation of multivariate exponential family state space models with exact diffuse initialization and sequential processing.
Homepage: https://cran.r-project.org/web/packages/KFAS/index.html
Source Code:  https://github.com/cran/KFAS
Dependencies: R
Keywords: R; exponential family; state space models; time series; forecasting; dynamic linear models; Journal of Statistical Software; R package
Related Software: R; dlm; pomp; dse; forecast; SsfPack; RStan; FKF; Rcpp; R-INLA; sspir; lme4; dynr; nimble; Stan; vSMC; JAGS; Stata; SAS; RcppArmadillo
Cited in: 9 Documents

Standard Articles

2 Publications describing the Software, including 1 Publication in zbMATH Year
KFAS: Exponential Family State Space Models in R Link
Jouni Helske
2017
Prediction and interpolation of time series by state space models. Zbl 1391.62002
Helske, Jouni
2015

Citations by Year