Statistics, Department of
The R Journal
Date of this Version
12-2021
Document Type
Article
Citation
The R Journal (December 2021) 13(2); Editor: Dianne Cook
Abstract
We present an R package bssm for Bayesian non-linear/non-Gaussian state space modeling. Unlike the existing packages, bssm allows for easy-to-use approximate inference based on Gaussian approximations such as the Laplace approximation and the extended Kalman filter. The package also accommodates discretely observed latent diffusion processes. The inference is based on fully automatic, adaptive Markov chain Monte Carlo (MCMC) on the hyperparameters, with optional importance sampling post-correction to eliminate any approximation bias. The package also implements a direct pseudo-marginal MCMC and a delayed acceptance pseudo-marginal MCMC using intermediate approximations. The package offers an easy-to-use interface to define models with linear-Gaussian state dynamics with non-Gaussian observation models and has an Rcpp interface for specifying custom non-linear and diffusion models
Included in
Numerical Analysis and Scientific Computing Commons, Programming Languages and Compilers Commons
Comments
Copyright 2021, The R Foundation. Open access material. License: CC BY 4.0 International