bssm: an R package for Bayesian inference of exponential family and stochastic volatility state space models
Efficient methods for Bayesian inference of state space models where the observation density is Gaussian, Poisson, binomial or negative binomial, and where the state dynamics are Gaussian.
For details, see package vignette and paper Importance sampling type correction of Markov chain Monte Carlo and exact approximations.
Under development. You can install the latest development version by using the devtools package: