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

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Documentation for package ‘bssm’ version 2.0.1

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

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