Multivariate State Space Models

Provides methods to perform parameter estimation and make analysis of multivariate observed outcomes through time which depends on a latent state variable. All methods scale well in the dimension of the observed outcomes at each time point. The package contains an implementation of a Laplace approximation, particle filters like suggested by Lin, Zhang, Cheng, & Chen (2005) , and the gradient and observed information matrix approximation suggested by Poyiadjis, Doucet, & Singh (2011) .


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install.packages("mssm")

0.1.3 by Benjamin Christoffersen, 15 days ago


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


Authors: Benjamin Christoffersen [cre, aut] , Anthony Williams [cph]


Documentation:   PDF Manual  


Task views:


GPL-2 license


Imports Rcpp, nloptr

Depends on stats, graphics

Suggests testthat, microbenchmark, Ecdat

Linking to Rcpp, RcppArmadillo, testthat, nloptr

System requirements: C++11


See at CRAN