KFAS: Exponential Family State Space Models in R

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Authors Jouni Helske
Journal/Conference Name Journal of Statistical Software
Paper Category
Paper Abstract State space modelling is an efficient and flexible method for statistical inference of a broad class of time series and other data. This paper describes an R package KFAS for state space modelling with the observations from an exponential family, namely Gaussian, Poisson, binomial, negative binomial and gamma distributions. After introducing the basic theory behind Gaussian and non-Gaussian state space models, an illustrative example of Poisson time series forecasting is provided. Finally, a comparison to alternative R packages suitable for non-Gaussian time series modelling is presented.
Date of publication 2016
Code Programming Language R

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