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KFAS  

Kalman Filter and Smoother for Exponential Family State Space Models
View on CRAN: Click here


Download and install KFAS package within the R console
Install from CRAN:
install.packages("KFAS")

Install from Github:
library("remotes")
install_github("cran/KFAS")

Install by package version:
library("remotes")
install_version("KFAS", "1.5.1")



Attach the package and use:
library("KFAS")
Maintained by
Jouni Helske
[Scholar Profile | Author Map]
First Published: 2009-08-19
Latest Update: 2023-09-05
Description:
State space modelling is an efficient and flexible framework for statistical inference of a broad class of time series and other data. KFAS includes computationally efficient functions for Kalman filtering, smoothing, forecasting, and simulation of multivariate exponential family state space models, with observations from Gaussian, Poisson, binomial, negative binomial, and gamma distributions. See the paper by Helske (2017) for details.
How to cite:
Jouni Helske (2009). KFAS: Kalman Filter and Smoother for Exponential Family State Space Models. R package version 1.5.1, https://cran.r-project.org/web/packages/KFAS. Accessed 13 Apr. 2025.
Previous versions and publish date:
0.3.1 (2009-08-19 10:14), 0.3.2 (2009-08-21 09:08), 0.3.3 (2009-08-27 09:37), 0.4.1 (2009-09-18 22:16), 0.4.2 (2009-09-28 09:51), 0.4.3 (2009-09-28 15:36), 0.4.4 (2009-10-01 21:53), 0.4.5 (2009-10-19 18:16), 0.4.6 (2009-10-22 20:37), 0.4.7 (2009-11-11 14:10), 0.4.8 (2009-12-14 20:58), 0.4.9 (2009-12-29 16:04), 0.5.0 (2010-01-07 16:40), 0.5.1 (2010-01-12 14:14), 0.5.2 (2010-01-22 15:14), 0.5.3 (2010-01-25 08:49), 0.5.4 (2010-02-02 15:11), 0.5.5 (2010-02-03 16:43), 0.5.6 (2010-02-09 10:16), 0.5.7 (2010-02-09 17:30), 0.5.8 (2010-03-26 12:17), 0.5.9 (2010-04-14 12:36), 0.6.0 (2010-04-15 20:38), 0.6.1 (2011-02-23 17:18), 0.9.9 (2012-07-06 12:16), 0.9.11 (2012-07-09 11:29), 1.0.2 (2013-12-07 10:31), 1.0.3 (2014-03-26 07:27), 1.0.4-1 (2014-06-06 17:31), 1.0.4 (2014-05-27 10:59), 1.1.0 (2015-04-18 08:55), 1.1.1 (2015-04-29 16:23), 1.1.2 (2015-06-26 13:34), 1.2.0 (2016-01-31 12:22), 1.2.1 (2016-02-05 19:39), 1.2.2 (2016-03-17 13:58), 1.2.3 (2016-06-23 01:05), 1.2.4 (2016-07-29 07:48), 1.2.5 (2016-12-23 17:21), 1.2.6 (2017-04-19 02:19), 1.2.8 (2017-06-08 15:53), 1.2.9 (2017-08-21 15:29), 1.3.0 (2017-12-08 14:52), 1.3.1 (2018-01-04 15:50), 1.3.2 (2018-05-21 17:29), 1.3.3 (2018-09-19 16:00), 1.3.4 (2019-02-03 11:53), 1.3.5 (2019-04-08 12:32), 1.3.6 (2019-05-29 14:20), 1.3.7 (2019-06-10 10:50), 1.4.0 (2020-12-07 12:30), 1.4.1 (2020-12-08 19:40), 1.4.2 (2021-01-14 10:50), 1.4.4 (2021-01-21 18:40), 1.4.5 (2021-05-10 11:42), 1.4.6 (2021-06-07 12:30), 1.5.0 (2023-02-07 11:42)
Other packages that cited KFAS R package
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