Multivariate Kalman filter and smoother, simulation smoother and forecasting of state space models. Approximate likelihood of linear non-gaussian state space models.

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Documentation for package ‘KFAS’ version 0.4.6

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distsmoother Disturbance smoother
expflik Approximate log-likelihood and gaussian density of exponential family state-space model.
filter Kalman Filter With Exact Diffuse Initialisation
forecast Forecast state space model
Kalman Kalman Filter With Exact Diffuse Initialisation
kf Kalman Filter With Exact Diffuse Initialisation
ks Kalman Smoother With Exact Diffuse Initialisation
simsmoother Simulation smoother