Package KFAS provides tools for modelling exponential family state space models such as structural time series, ARIMA models, generalized linear models and generalized linear mixed models.
If you use KFAS in your paper, please cite properly, see citation("KFAS") in R. For collection of papers mentioning KFAS, see: Who uses KFAS
Main features
- Kalman filtering
- Fixed interval smoothing (Kalman smoothing)
- Simulation smoothing of Gaussian models
- Importance sampling of non-Gaussian models
- Exact diffuse initialization
- Sequential processing
- Multivariate models with mixed distributions
Most of the algorithms are based on book "Time Series Analysis by State Space Methods" and related articles by J. Durbin and S.J. Koopman.
Current version of KFAS in CRAN is 1.2.0. You can install the latest development version from github using devtools package:
install.packages("devtools")
library(devtools)
install_github("helske/KFAS")See
- help(KFAS) in R for examples
- ChangeLog for upcoming, already completed changes