MARSS Dev Site

This is the DEVELOPMENT site for the MARSS.  For the current MARSS  release go to CRAN or download straight from the R GUI using "Install Packages" menu.

MARSS fits mulitvariate autoregressive state-space (MARSS) models with Gaussian errors to multivariate time series data.  A MARSS model is:

x(t) = B x(t-1) + u + v(t), v(t)~MVN(0,Q)

y(t) = Z x(t) + a + w(t), w(t)~MVN(0,R)

Project news (Jan 27, 2012): MARSS 2.8 uploaded to CRAN.  2.3+ implements the algorithm for a fully unconstrained MARSS model with fixed and shared elements in all parameters.  See changes.pdf for the fixes since 2.5.  MARSS 2.9 is in the works which will allow more typical specification of covariates. I'm also working on MARSS 3.0, which implements the general EM algorithm with linear constraints on the parameter matrices. MARSS 2.8 is implementing a constrained version of the more general algorithm in the EMDerivation paper.  The change for 3.0 requires changing the 'wrappers' so user can specify the linear constraints.  The actual algorithm code (MARSSkem.r) is unchanged.

Developers: Eli Holmes, Eric Ward and Kellie Wills

Current known issues:

• lap-p models not working with method=kem since kemcheck is blocking.  Need to review EM algorithm per constraint that B subblock corresponding to diag(Q)=0 must be diagonal.    Use method="BFGS" or "BFGSkf" as a work around. 
• moving average models not tested and doesn't allow R=0 for the simple example in 8.4.  See code in 2/16/12 email for example MA code.
  
• The likelihood for the covariate "trick" where you want covariate to affect process only and do that by setting R=zero is wrong.  There shouldn't be a likelihood of the covariate added in, but will be since Q=1.I added a note to manual for 2.8 saying you need to subtract off that extra LL.
  
• For cross-platform compatibility with MacOS, I think all of the source files need a hard return / empty line as the last line.
• MLE objects from fitting with BFGS will not work when passed to MARSSaic, MARSSboot, and MARSSparamCIs since these expect a MLE object fit using "kem".