Learn R Programming

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.

Copy Link

Version

Install

install.packages('dynamichazard')

Monthly Downloads

386

Version

1.0.2

License

GPL-2

Issues

1

Pull Requests

0

Stars

9

Forks

3

Maintainer

Benjamin Christoffersen

Last Published

October 5th, 2022

Functions in dynamichazard (1.0.2)

ddhazard_control

Auxiliary for Controlling Dynamic Hazard Models
ddhazard_app

ddhazard Demo
ddhazard_boot

Bootstrap for ddhazard Object
plot.ddsurvcurve

Create and plot survival curves
ddFixed

Auxiliary Functions for Fixed Effects
PF_control

Auxiliary for Controlling Particle Fitting
PF_get_score_n_hess

Approximate Observed Information Matrix and Score Vector
hds

Hard Drive Failures
get_cloud_quantiles

Compute Quantile Estimates from Particle Cloud
get_survival_case_weights_and_data

Get data.frame for Discrete Time Survival Models
get_risk_obj

Risk Set on an Equidistant Distant Grid
get_cloud_means

Compute Mean Estimates from Particle Cloud
ddhazard

Fitting Dynamic Hazard Models
PF_forward_filter

Forward Particle Filter
PF_EM

EM Estimation with Particle Filters and Smoothers
hatvalues.ddhazard

Hat Values for ddhazard Object
logLik.PF_EM

Approximate Log-Likelihood from a Particle Filter
get_Q_0

Compute Time-Invariant Covariance Matrix
plot.PF_EM

Plot for a PF_EM Object
logLik.ddhazard

Log Likelihood of Mean Path of ddhazard Object
print.ddhazard_boot

Summary Statistics for a ddhazard_boot Object
residuals.ddhazard

Residuals Method for ddhazard Object
static_glm

Static glm Fit
predict.ddhazard

Predict Method for ddhazard Object
plot.ddhazard_space_errors

State Space Error Plot
print.summary.ddhazard

Summarizing Dynamic Hazard Models Fits
plot.ddhazard

Plots for ddhazard Object
plot.PF_clouds

Plot of Clouds from a PF_clouds Object