jrnold / ssmodels-in-stan

State space models (dynamic linear models, hidden Markov models) implemented in Stan.

This is work in progress. It is a template for writing Kalman filters in Stan, but I wouldn't recommend directly using it in your work.

Example and code for state-space models in Stan. This includes an implementation of Kalman filtering, smoothing, and simulation for dynamic linear models (Gaussian linear state-space models).

Licensing

All Stan code is licensed under the New BSD License. All R code is licensed under the GPL-2 License. All documentation is licensed CC-BY.