Multivariate State Space Models

Description

This package contains particle filter methods for multivariate observed outcomes and low dimensional state vectors. The methods are intended to scale well in the dimension of the observed outcomes. The main function in the package is the mssm function. The package also includes a method to estimate the parameters using a Laplace approximation.

The README contains an example of the features in the package. See https://github.com/boennecd/mssm.

The package is still under development and the API and results of the methods may change.