statespacer - State Space Modelling in 'R'

A tool that makes estimating models in state space form a breeze. See "Time Series Analysis by State Space Methods" by Durbin and Koopman (2012, ISBN: 978-0-19-964117-8) for details about the algorithms implemented.

Last updated 2 years ago

cppdynamic-linear-modelforecastinggaussian-modelskalman-filtermathematical-modellingstate-spacestatistical-inferencestatistical-modelsstructural-analysistime-seriesopenblascppopenmp

6.14 score 15 stars 37 scripts 306 downloads