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


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Documentation for package ‘bssm’ version 0.1.6-1

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bssm-package Bayesian Inference of State Space Models
ar1 Univariate Gaussian model with AR(1) latent process
as_gssm Convert SSModel Object to gssm or ngssm Object
as_ngssm Convert SSModel Object to gssm or ngssm Object
autoplot.predict_bssm Plot predictions based on bssm package
bootstrap_filter Bootstrap Filtering
bootstrap_filter.ngssm Bootstrap Filtering
bootstrap_filter.nlg_ssm Bootstrap Filtering
bootstrap_filter.sde_ssm Bootstrap Filtering
bootstrap_filter.svm Bootstrap Filtering
bsm Basic Structural (Time Series) Model
bssm Bayesian Inference of State Space Models
drownings Deaths by drowning in Finland in 1969-2014
ekf (Iterated) Extended Kalman Filtering
ekf_smoother Extended Kalman Smoothing
ekpf_filter Extended Kalman Particle Filtering
ekpf_filter.nlg_ssm Extended Kalman Particle Filtering
exchange Pound/Dollar daily exchange rates
expand_sample Expand the Jump Chain representation
fast_smoother Kalman Smoothing
gaussian_approx Gaussian approximation of non-Gaussian state space model
gaussian_approx.ng_bsm Gaussian approximation of non-Gaussian state space model
gssm General univariate linear-Gaussian state space models
halfnormal Prior objects for bssm models
importance_sample Importance Sampling from non-Gaussian State Space Model
importance_sample.ngssm Importance Sampling from non-Gaussian State Space Model
importance_sample.ng_bsm Importance Sampling from non-Gaussian State Space Model
importance_sample.svm Importance Sampling from non-Gaussian State Space Model
importance_sample.ung_ar1 Importance Sampling from non-Gaussian State Space Model
kfilter Kalman Filtering
lgg_ssm General multivariate linear Gaussian state space models
logLik.gssm Log-likelihood of the State Space Model
logLik.ngssm Log-likelihood of the State Space Model
mv_gssm General multivariate linear-Gaussian state space models
ngssm General univariate non-Gaussian/non-linear state space models
ng_ar1 Non-Gaussian model with AR(1) latent process
ng_bsm Non-Gaussian Basic Structural (Time Series) Model
nlg_ssm General multivariate nonlinear Gaussian state space models
normal Prior objects for bssm models
particle_smoother Particle Smoothing
particle_smoother.gssm Particle Smoothing
particle_smoother.ngssm Particle Smoothing
particle_smoother.nlg_ssm Particle Smoothing
particle_smoother.sde_ssm Particle Smoothing
poisson_series Simulated Poisson time series data
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.ar1 Bayesian Inference of Linear-Gaussian State Space Models
run_mcmc.bsm Bayesian Inference of Linear-Gaussian State Space Models
run_mcmc.gssm Bayesian Inference of Linear-Gaussian State Space Models
run_mcmc.lgg_ssm Bayesian Inference of Linear-Gaussian State Space Models
run_mcmc.ngssm Bayesian inference of non-Gaussian or non-linear state space models using MCMC
run_mcmc.ng_ar1 Bayesian inference of non-Gaussian or non-linear state space models using MCMC
run_mcmc.ng_bsm Bayesian inference of non-Gaussian or non-linear state space models using MCMC
run_mcmc.nlg_ssm Bayesian inference of non-Gaussian or non-linear state space models using MCMC
run_mcmc.sde_ssm Bayesian inference of non-Gaussian or non-linear state space models using MCMC
run_mcmc.svm Bayesian inference of non-Gaussian or non-linear state space models using MCMC
sde_ssm Univariate state space model with continuous SDE dynamics
sim_smoother Simulation Smoothing
smoother Kalman Smoothing
summary.mcmc_output Summary of MCMC object
svm Stochastic Volatility Model
ukf Unscented Kalman Filtering
uniform Prior objects for bssm models