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Contains functions that lets you fit dynamic hazard models using state space models. The first implemented model is described in Fahrmeir (1992) doi:10.1080/01621459.1992.10475232 and Fahrmeir (1994) doi:10.1093/biomet/81.2.317. Extensions hereof are available where the Extended Kalman filter is replaced by an unscented Kalman filter. See Christoffersen (2021) doi:10.18637/jss.v099.i07 for more details. Particle filters and smoothers are also supported more general state space models.
Citation | dynamichazard citation info |
github.com/boennecd/dynamichazard | |
System requirements | C++11 |
Bug report | File report |
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