bssm 1.0.0 (Release date: -) ============== Major update * Major changes for model definitions, now model updating and priors can be defined via R functions (non-linear and SDE models still rely on C++ snippets). * Added support for multivariate non-Gaussian models. * Added support for gamma distributions. * Added the function as.data.frame for mcmc output which converts the MCMC samples to data.frame format for easier post-processing. * Added truncated normal prior. * Many argument names and model building functions have been changed for clarity and consistency. * Major overhaul of C++ internals which can bring minor efficiency gains and smaller installation size. * Allow zero as initial value for positive-constrained parameters of bsm models. * Small changes to summary method which can now return also only summaries of the states. * Fixed a bug in initializing run_mcmc for negative binomial model. * Fixed a bug in phi-APF for non-linear models. * Reimplemented predict method which now always produces data frame of samples. bssm 0.1.11 (Release date: 2020-02-25) ============== * Switched (back) to approximate posterior in RAM for PM-SPDK and PM-PSI, as it seems to work better with noisy likelihood estimates. * Print and summary methods for MCMC output are now coherent in their output. bssm 0.1.10 (Release date: 2020-02-04) ============== * Fixed missing weight update for IS-SPDK without OPENMP flag. * Removed unused usage argument ... from expand_sample. bssm 0.1.9 (Release date: 2020-01-27) ============== * Fixed state sampling for PM-MCMC with SPDK. * Added ts attribute for svm model. * Corrected asymptotic variance for summary methods. bssm 0.1.8-1 (Release date: 2019-12-20) ============== * Tweaked tests in order to pass MKL case at CRAN. bssm 0.1.8 (Release date: 2019-09-23) ============== * Fixed a bug in predict method which prevented the method working in case of ngssm models. * Fixed a bug in predict method which threw an error due to dimension drop of models with single state. * Fixed issues with the vignette. bssm 0.1.7 (Release date: 2019-03-19) ============== * Fixed a bug in EKF smoother which resulted wrong smoothed state estimates in case of partially missing multivariate observations. Thanks for Santeri Karppinen for spotting the bug. * Added twisted SMC based simulation smoothing algorithm for Gaussian models, as an alternative to Kalman smoother based simulation. bssm 0.1.6-1 (Release date: 2018-11-20) ============== * Fixed wrong dimension declarations in pseudo-marginal MCMC and logLik methods for SDE and ng_ar1 models. * Added a missing Jacobian for ng_bsm and bsm models using IS-correction. * Changed internal parameterization of ng_bsm and bsm models from log(1+theta) to log(theta). bssm 0.1.5 (Release date: 2018-05-23) ============== * Fixed the Cholesky decomposition in filtering recursions of multivariate models. * as_gssm now works for multivariate Gaussian models of KFAS as well. * Fixed several issues regarding partially missing observations in multivariate models. * Added the MASS package to Suggests as it is used in some unit tests. * Added missing type argument to SDE MCMC call with delayed acceptance. bssm 0.1.4-1 (Release date: 2018-02-04) ============== * Fixed the use of uninitialized values in psi-filter from version 0.1.3. bssm 0.1.4 (Release date: 2018-02-04) ============== * MCMC output can now be defined with argument `type`. Instead of returning joint posterior samples, run_mcmc can now return only marginal samples of theta, or summary statistics of the states. * Due to the above change, argument `sim_states` was removed from the Gaussian MCMC methods. * MCMC functions are now less memory intensive, especially with `type="theta"`. bssm 0.1.3 (Release date: 2018-01-07) ============== * Streamlined the output of the print method for MCMC results. * Fixed major bugs in predict method which caused wrong values for the prediction intervals. * Fixed some package dependencies. * Sampling for standard deviation parameters of BSM and their non-Gaussian counterparts is now done in logarithmic scale for slightly increased efficiency. * Added a new model class ar1 for univariate (possibly noisy) Gaussian AR(1) processes. * MCMC output now includes posterior predictive distribution of states for one step ahead to the future. bssm 0.1.2 (Release date: 2017-11-21) ============== * API change for run_mcmc: All MCMC methods are now under the argument method, instead of having separate arguments for delayed acceptance and IS schemes. * summary method for MCMC output now omits the computation of SE and ESS in order to speed up the function. * Added new model class lgg_ssm, which is a linear-Gaussian model defined directly via C++ like non-linear ssm_nlg models. This allows more flexible prior definitions and complex system matrix constructions. * Added another new model class, ssm_sde, which is a model with continuous state dynamics defined as SDE. These too are defined via couple simple C++ functions. * Added non-gaussian AR(1) model class. * Added argument nsim for predict method, which allows multiple draws per MCMC iteration. * The noise multiplier matrices H and R in ssm_nlg models can now depend on states. bssm 0.1.1-1 (Release date: 2017-06-27) ============== * Use byte compiler. * Skip tests relying in certain numerical precision on CRAN. bssm 0.1.1 (Release date: 2017-06-27) ============== * Switched from C++11 PRNGs to sitmo. * Fixed some portability issues in C++ codes. bssm 0.1.0 (Release date: 2017-06-24) ============== * Initial release.