sspir {sspir} | R Documentation |
The main contribution of this package is to give a formula
language for specifying dynamic generalized linear models. That is, an
extension of glm formulae by marking terms with tvar
to specify
that their coefficients are time-varying. The package also provides
(extended) Kalman filter and Kalman smoother for models within
Gaussian, Poisson and binomial families. To get started, try
demo(gas)
, demo(vandrivers)
and demo(mumps)
.
Also, read the paper "C. Dethlefsen and S. Lundbye-Christensen. Formulating state space models in r with focus on longitudinal regression models. Journal of Statistical Software, 16(1), 2006."
SS
functions Fmat
,
Gmat
, Vmat
, Wmat
. The special cases where these
matrices are time-invariant, the algorithms can be considerably
speeded up by implementing these special cases eg. in C. For simple
models, see StructTS
.SS
objects.ssm
objects for different time-series so
that they can possibly share components in the latent process.ssm
objects defining different
models for the same time-series. Providing prior probabilities for
these models, it is possible to calculate posterior probabilites for
the models, thereby discriminating between the models.getFamily
Probably this list is incomplete. Feel free to contribute with more links to packages.
Claus Dethlefsen and Søren Lundbye-Christensen.