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.
Keywords for this software
References in zbMATH (referenced in 2 articles , 1 standard article )
Showing results 1 to 2 of 2.
- Helske, Jouni: Prediction and interpolation of time series by state space models (2015)
- Ruiz-Cárdenas, Ramiro; Krainski, Elias T.; Rue, Håvard: Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA (2012)