Dynamic Hazard Models using State Space Models

Contains functions that lets you fit dynamic hazard models using state space models. The first implemented model is described in Fahrmeir (1992) and Fahrmeir (1994) . Extensions hereof are available where the Extended Kalman filter is replaced by an unscented Kalman filter and other options including particle filters.


Reference manual

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0.4.0 by Benjamin Christoffersen, a month ago


Report a bug at https://github.com/boennecd/dynamichazard/issues

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

Authors: Benjamin Christoffersen [cre, aut], Alan Miller [cph], Anthony Williams [cph], Boost developers [cph], R-core [cph]

Documentation:   PDF Manual  

GPL-2 license

Imports parallel, Rcpp, boot, stringr, data.table

Depends on stats, graphics, utils, survival

Suggests testthat, knitr, rmarkdown, timereg, captioner, biglm, httr, mgcv, shiny, formatR, R.rsp, speedglm, dichromat, colorspace

Linking to Rcpp, RcppArmadillo

System requirements: C++11

See at CRAN