mssm (0.1.1)

Multivariate State Space Models.

Provides methods to perform parameter estimation and make analysis of multivariate observed outcomes through time which depends on a latent state variable. All methods scale well in the dimension of the observed outcomes at each time point. The package contains an implementation of a Laplace approximation, particle filters like suggested by Lin, Zhang, Cheng, & Chen (2005) , and the gradient and observed information matrix approximation suggested by Poyiadjis, Doucet, & Singh (2011) .

Maintainer: Benjamin Christoffersen
Author(s): Benjamin Christoffersen [cre, aut], Anthony Williams [cph]

License: GPL-2

Uses: nloptr, Rcpp, Ecdat, testthat, microbenchmark

Released 5 months ago.