ctsmTMB: Continuous Time Stochastic Modelling using Template Model Builder

Perform state and parameter inference, and forecasting, in stochastic state-space systems using the 'ctsmTMB' class. This class, built with the 'R6' package, provides a user-friendly interface for defining and handling state-space models. Inference is based on maximum likelihood estimation, with derivatives efficiently computed through automatic differentiation enabled by the 'TMB'/'RTMB' packages (Kristensen et al., 2016) <doi:10.18637/jss.v070.i05>. The available inference methods include Kalman filters, in addition to a Laplace approximation-based smoothing method. For further details of these methods refer to the documentation of the 'CTSMR' package <https://ctsm.info/ctsmr-reference.pdf> and Thygesen (2025) <doi:10.48550/arXiv.2503.21358>. Forecasting capabilities include moment predictions and stochastic path simulations, both implemented in 'C++' using 'Rcpp' (Eddelbuettel et al., 2018) <doi:10.1080/00031305.2017.1375990> for computational efficiency.

Version:	1.0.0
Depends:	R (≥ 4.0.0)
Imports:	TMB, RTMB (≥ 1.7), R6, Deriv, stringr, Rcpp, RcppEigen, RcppXPtrUtils, RcppZiggurat, Matrix, deSolve, ggplot2, ggfortify, patchwork
LinkingTo:	Rcpp, RcppEigen, RcppZiggurat
Suggests:	testthat (≥ 3.0.0), knitr, rmarkdown, RTMBode
Published:	2025-04-08
DOI:	10.32614/CRAN.package.ctsmTMB
Author:	Phillip Vetter [aut, cre, cph], Jan Møller [ctb], Uffe Thygesen [ctb], Peder Bacher [ctb], Henrik Madsen [ctb]
Maintainer:	Phillip Vetter <pbrve at dtu.dk>
BugReports:	https://github.com/phillipbvetter/ctsmTMB/issues
License:	GPL-3
Copyright:	See the file COPYRIGHTS ctsmTMB copyright details
URL:	https://github.com/phillipbvetter/ctsmTMB
NeedsCompilation:	yes
SystemRequirements:	GNU GSL
Additional_repositories:	https://kaskr.r-universe.dev
Citation:	ctsmTMB citation info
Materials:	README NEWS
CRAN checks:	ctsmTMB results

Documentation:

Reference manual:	ctsmTMB.pdf
Vignettes:	Getting Started (source, R code) Estimating Parameters (source, R code) Extended Kalman Filter (source) Laplace Approximation (source) Linear Kalman Filter (source) AddObs - Details (source, R code) Moment Predictions (source, R code) Stochastic Simulations (source, R code) Unscented Kalman Filter (source) Extracting the Likelihood Function and Changing Optimizer (source, R code)

Downloads:

Package source:	ctsmTMB_1.0.0.tar.gz
Windows binaries:	r-devel: ctsmTMB_1.0.0.zip, r-release: ctsmTMB_1.0.0.zip, r-oldrel: not available
macOS binaries:	r-devel (arm64): ctsmTMB_1.0.0.tgz, r-release (arm64): ctsmTMB_1.0.0.tgz, r-oldrel (arm64): ctsmTMB_1.0.0.tgz, r-devel (x86_64): ctsmTMB_1.0.0.tgz, r-release (x86_64): ctsmTMB_1.0.0.tgz, r-oldrel (x86_64): ctsmTMB_1.0.0.tgz

Linking:

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