KFAS: R Package for Exponential Family State Space Models

Package KFAS provides tools for modelling exponential family state space models such as structural time series, ARIMA models, generalized linear models and generalized linear mixed models.

Main features

Most of the algorithms are based on book "Time Series Analysis by State Space Methods" and related articles by J. Durbin and S.J. Koopman.

Current version of KFAS in CRAN is 1.0.4-1. See * help(KFAS) in R for examples * ChangeLog for upcoming, already completed changes * TODO for future changes