Bayesian Inference of Non-Linear and Non-Gaussian State Space Models


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Documentation for package ‘bssm’ version 2.0.1

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ar1_lg Univariate Gaussian model with AR(1) latent process
ar1_ng Non-Gaussian model with AR(1) latent process
as.data.frame.mcmc_output Convert MCMC Output to data.frame
asymptotic_var Asymptotic Variance of IS-type Estimators
as_bssm Convert KFAS Model to bssm Model
as_draws Convert 'run_mcmc' Output to 'draws_df' Format
as_draws.mcmc_output Convert 'run_mcmc' Output to 'draws_df' Format
as_draws_df Convert 'run_mcmc' Output to 'draws_df' Format
as_draws_df.mcmc_output Convert 'run_mcmc' Output to 'draws_df' Format
bootstrap_filter Bootstrap Filtering
bootstrap_filter.lineargaussian Bootstrap Filtering
bootstrap_filter.nongaussian Bootstrap Filtering
bootstrap_filter.ssm_nlg Bootstrap Filtering
bootstrap_filter.ssm_sde Bootstrap Filtering
bsm_lg Basic Structural (Time Series) Model
bsm_ng Non-Gaussian Basic Structural (Time Series) Model
bssm Bayesian Inference of State Space Models
bssm_prior Prior objects for bssm models
bssm_prior_list Prior objects for bssm models
check_diagnostics Quick Diagnostics Checks for 'run_mcmc' Output
cpp_example_model Example C++ Codes for Non-Linear and SDE Models
drownings Deaths by drowning in Finland in 1969-2019
ekf (Iterated) Extended Kalman Filtering
ekf_fast_smoother Extended Kalman Smoothing
ekf_smoother Extended Kalman Smoothing
ekpf_filter Extended Kalman Particle Filtering
ekpf_filter.ssm_nlg Extended Kalman Particle Filtering
estimate_ess Effective Sample Size for IS-type Estimators
exchange Pound/Dollar daily exchange rates
expand_sample Expand the Jump Chain representation
fast_smoother Kalman Smoothing
fast_smoother.lineargaussian Kalman Smoothing
fitted.mcmc_output Fitted for State Space Model
gamma Prior objects for bssm models
gamma_prior Prior objects for bssm models
gaussian_approx Gaussian Approximation of Non-Gaussian/Non-linear State Space Model
gaussian_approx.nongaussian Gaussian Approximation of Non-Gaussian/Non-linear State Space Model
gaussian_approx.ssm_nlg Gaussian Approximation of Non-Gaussian/Non-linear State Space Model
halfnormal Prior objects for bssm models
halfnormal_prior Prior objects for bssm models
iact Integrated Autocorrelation Time
importance_sample Importance Sampling from non-Gaussian State Space Model
importance_sample.nongaussian Importance Sampling from non-Gaussian State Space Model
kfilter Kalman Filtering
kfilter.lineargaussian Kalman Filtering
kfilter.nongaussian Kalman Filtering
logLik.lineargaussian Extract Log-likelihood of a State Space Model of class 'bssm_model'
logLik.nongaussian Extract Log-likelihood of a State Space Model of class 'bssm_model'
logLik.ssm_nlg Extract Log-likelihood of a State Space Model of class 'bssm_model'
logLik.ssm_sde Extract Log-likelihood of a State Space Model of class 'bssm_model'
negbin_model Estimated Negative Binomial Model of Helske and Vihola (2021)
negbin_series Simulated Negative Binomial Time Series Data
normal Prior objects for bssm models
normal_prior Prior objects for bssm models
particle_smoother Particle Smoothing
particle_smoother.lineargaussian Particle Smoothing
particle_smoother.nongaussian Particle Smoothing
particle_smoother.ssm_nlg Particle Smoothing
particle_smoother.ssm_sde Particle Smoothing
poisson_series Simulated Poisson Time Series Data
post_correct Run Post-correction for Approximate MCMC using psi-APF
predict Predictions for State Space Models
predict.mcmc_output Predictions for State Space Models
print.mcmc_output Print Results from MCMC Run
run_mcmc Bayesian Inference of State Space Models
run_mcmc.lineargaussian Bayesian Inference of State Space Models
run_mcmc.nongaussian Bayesian Inference of State Space Models
run_mcmc.ssm_nlg Bayesian Inference of State Space Models
run_mcmc.ssm_sde Bayesian Inference of State Space Models
sim_smoother Simulation Smoothing
sim_smoother.lineargaussian Simulation Smoothing
sim_smoother.nongaussian Simulation Smoothing
smoother Kalman Smoothing
smoother.lineargaussian Kalman Smoothing
ssm_mlg General multivariate linear Gaussian state space models
ssm_mng General Non-Gaussian State Space Model
ssm_nlg General multivariate nonlinear Gaussian state space models
ssm_sde Univariate state space model with continuous SDE dynamics
ssm_ulg General univariate linear-Gaussian state space models
ssm_ung General univariate non-Gaussian state space model
suggest_N Suggest Number of Particles for psi-APF Post-correction
summary.mcmc_output Summary Statistics of Posterior Samples
svm Stochastic Volatility Model
tnormal Prior objects for bssm models
tnormal_prior Prior objects for bssm models
ukf Unscented Kalman Filtering
uniform Prior objects for bssm models
uniform_prior Prior objects for bssm models