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

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