Re: [R] extended Kalman filter for survival data
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: duta...@gmail.com To: r-help@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]] __ R-help@r-project.org mailing list 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. _ Hotmail: Trusted email with powerful SPAM protection. [[alternative HTML version deleted]] __ R-help@r-project.org mailing list 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.
Re: [R] extended Kalman filter for survival data
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 argch...@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: duta...@gmail.com To: r-help@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]] __ R-help@r-project.org mailing list 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. Hotmail: Trusted email with powerful SPAM protection. Sign up now. [[alternative HTML version deleted]] __ R-help@r-project.org mailing list 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.
[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]] __ R-help@r-project.org mailing list 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.
