Re: [R] extended Kalman filter for survival data

From: Christophe Dutang <dutangc_at_gmail.com>
Date: Sat, 12 Jun 2010 15:21:55 +0200

Thanks Christos.

BayesX was strongly recommended also by Fahrmeir and other people of that field. So it is clearly where I need to look at!

Christophe

iPhone.fan

Le 12 juin 2010 à 04:46, Christos Argyropoulos <argchris_at_hotmail.com> a écrit :

>
> If you mean this paper by Fahrmeir: http://biomet.oxfordjournals.org/cgi/content/abstract/81/2/317
> I would recommend BayesX: http://www.stat.uni-muenchen.de/~bayesx/.
> BayesX interfaces with R and estimates discrete (and continuous)
> time survival data with penalized regression methods.
> If you are looking for a bona fide Bayesian survival analysis method
> and do not wish to spend a lot of time coming up and debugging your
> MCMC implementations in WinBUGS/JAGS/OpenBUGS this would be the way
> to go.
> If you are strictly after frequentist analyses then you can still
> run them with BayesX (look at the REML chapter in the manual).
>
>
> Christos Argyropoulos
>
>
> > Date: Mon, 3 May 2010 23:18:28 +0200
> > From: dutangc_at_gmail.com
> > To: r-help_at_r-project.org
> > Subject: [R] extended Kalman filter for survival data
> >
> > 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
> >
> > Christophe
> >
> >
> >
> > 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
> >
> > [[alternative HTML version deleted]]
> >
> > ______________________________________________
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> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
>
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