dynamichazard (version 1.0.2)
Dynamic Hazard Models using State Space Models
Description
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.
See Christoffersen (2021) for more details.
Particle filters and smoothers are also supported more general state space
models.
