Bayesian Inference of State Space Models

Efficient methods for Bayesian inference of state space models via particle Markov chain Monte Carlo and importance sampling type corrected Markov chain Monte Carlo. Gaussian, Poisson, binomial, or negative binomial observation densities and Gaussian state dynamics, as well as general non-linear Gaussian models are supported.


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install.packages("bssm")

0.1.1-1 by Jouni Helske, 2 months ago


Browse source code at https://github.com/cran/bssm


Authors: Jouni Helske, Matti Vihola


Documentation:   PDF Manual  


GPL (>= 2) license


Imports coda, diagis, ggplot2, Rcpp

Suggests KFAS, knitr, rmarkdown, testthat, bayesplot

Linking to BH, Rcpp, RcppArmadillo, ramcmc, sitmo

System requirements: C++11


See at CRAN