Tuesday, June 22, 2010
MARSS package uploaded to CRAN
The official release of 1.0 has been uploaded to CRAN (Here's the link to the CRAN page).
This is an R package to fit unconstrained and constrained multivariate autoregressive state-space
models via maximum-likelihood (EM algorithm). It was developed by Eli Holmes, Eric Ward and Kellie Wills.
It is fully documented with a user guide/manual:
Analysis of multivariate time-series using the MARSS package,
by E.E. Holmes and E.J. Ward. MARSS has bootstrap AICb and CIs and simulation features. MARSS 1.0 doesn't allow you to estimate the
B matrix. MARSS 2.0 will allow that, and MARSS 3.0 will provide Bayesian fitting. If you are looking for the derivation of update
equations for the Kalman-EM algorithm, take a look at Derivation of the EM algorithm for constrained
and unconstrained multivariate autoregressive state-space (MARSS) models.
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