New version of KFAS available on CRAN. Contains few bigger bug fixes, several small ones, and couple new features and performance boosts. Vignette contains now more examples and comparison to other packages with similar goals.
Full changelog:
- signal: Corrected case of extracting filtered mean when it was missing from the input.
- signal: Corrected extraction of smoothed mean variance which previously returned NULL.
- predict.SSModel: corrected tsp attribute for one step ahead prediction.
- predict.SSModel: Added argument filtered. When TRUE, produces (in sample) predictions
based on filtered estimates. - predict.SSModel: Tweaked code for performance.
- predict.SSmodel: Corrected a bug relating to modifying tv attribute of combined model where
system matrices on original and new model were both time invariant but not identical. - fitSSM: Additional arguments to updatefn are now passed via optional argument
list update_args in order to avoid possible conflicts between the updatefn and
optim functions. - fitSSM: For non-Gaussian models the initial values for linear predictor are
precalculated and passed to logLik in optimization, as there is no need to
compute them again in each iteration. - fitSSM: By default, fitSSM does not anymore run the is.SSModel as checkfn in
each iteration, now only invalid values in system matrices are checked. - Added example for boat race data.
- Added examples to multiple functions.
- coef.KFS: Added argument last which extracts only the last time point.
- Subset methods for SSModel and deviance.KFS are now defunct.
- Extraction and assignment methods of SSModel object now work also with numeric
values (but improper assignment can cause the result in non-valid SSModel object). - Added default value (1) for n in auxiliary model building functions.
- Added coef and fitted methods for SSModel object.
- Added diagnostic plot method for SSModel object.
- SSMseasonal: Corrected a bug where the matrix R was not defined properly for
multivariate models causing erronenous covariance matrix RQR for Q!=0. - Allow nonzero a1 for diffuse elements. Mainly useful for plotting purposes as it does not affect likelihood etc.
- is.SSModel: Tweaked code for performance.
- is.SSmodel: Corrected bug relating for check of tv attribute.