[R] extended Kalman filter for survival data from christophe dutang on 2010-05-04 (R help archive)

[R] extended Kalman filter for survival data

From: christophe dutang <dutangc_at_gmail.com>
Date: Mon, 03 May 2010 23:18:28 +0200

Dear all,

I'm looking for an implementation of the generalized extended Kalman filter for survival data, presented in this article Fahrmeir (1994) - 'dynamic modelling for discrete time survival data'. The same author also publish a Bayesian version of the algorithm 'dynamic discrete-time duration models'.

The maintainer of the Survival task view advises me to take a look at http://cran.r-project.org/web/packages/sspir/index.html Unfortunately, the pkg implements "only" dynamic GLM.

That's why I'm asking on this list, if someone knows a package for this implementation?

Thanks in advance


PS: the pseudo vignette of the sspir pkg can be found here http://www.jstatsoft.org/v16/i01/paper .

Christophe DUTANG
Ph. D. student at ISFA

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