Package: KFAS
Version: 0.4.8
Date: 2009-11-14
Title: Multivariate Kalman filter and smoother, simulation smoother and
forecasting of state space models. State smoothing and
approximate likelihood of exponential family state space
models.
Author: Jouni Helske <jouni.helske@jyu.fi>
Maintainer: Jouni Helske <jouni.helske@jyu.fi>
Depends: R (>= 2.8.0)
Description: Package KFAS provides functions for fast Kalman filtering,
state and disturbance smoothing, forecasting and simulation of
multivariate time-variant state space models. All functions can
use exact diffuse initialisation when distributions of some or
all elements of initial state vector are unknown. Filtering,
state smoothing and simulation functions use sequential
processing algorithm, which is faster than standard approach,
and it also allows singularity of prediction error variance
matrix. KFAS also contains function for likelihood of
exponential family state space models and function for state
smoothing of exponential family state space models.
License: GPL (>= 2)
Packaged: 2009-12-14 09:39:48 UTC; jovetale
Repository: CRAN
Date/Publication: 2009-12-14 19:58:40

Package: KFAS
Version: 0.4.9
Date: 2009-12-29
Title: Kalman filter and smoothers for exponential family state space
models.
Author: Jouni Helske <jouni.helske@jyu.fi>
Maintainer: Jouni Helske <jouni.helske@jyu.fi>
Depends: R (>= 2.8.0)
Description: Package KFAS provides functions for Kalman filtering,
state, disturbance and simulation smoothing, forecasting and
simulation of state space models. All functions can use exact
diffuse initialisation when distributions of some or all
elements of initial state vector are unknown. Filtering, state
smoothing and simulation functions use sequential processing
algorithm, which is faster than standard approach, and it also
allows singularity of prediction error variance matrix. KFAS
also contains function for computing the likelihood of
exponential family state space models and function for state
smoothing of exponential family state space models.
License: GPL (>= 2)
Packaged: 2009-12-29 11:23:29 UTC; jovetale
Repository: CRAN
Date/Publication: 2009-12-29 15:04:49