viking (version 1.0.2)

State-Space Models Inference by Kalman or Viking

Description

Inference methods for state-space models, relying on the Kalman Filter or on Viking (Variational Bayesian VarIance tracKING). See J. de Vilmarest (2022) .

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Version

Install

install.packages('viking')

Monthly Downloads

197

Version

1.0.2

License

LGPL-3

Maintainer

Joseph de Vilmarest

Last Published

October 6th, 2023

Functions in viking (1.0.2)

plot.statespace

Plot a statespace object

statespace

Design a State-Space Model

kalman_filtering

Kalman Filtering

iterative_grid_search

Iterative Grid Search

loglik

Log-likelihood

predict.statespace

Predict using a statespace object

expectation_maximization

Expectation-Maximization

select_Kalman_variances

Select time-invariant variances of a State-Space Model

viking

Viking: Variational bayesIan variance tracKING

kalman_smoothing

Kalman Smoothing