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ctsmTMB: Continuous Time Stochastic Modelling using Template ModelBuilder

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:1.0.1
Depends:R (≥ 4.0.0)
Imports:Deriv,geomtextpath,ggfortify,ggplot2, graphics, grDevices,Matrix,patchwork,R6,RcppXPtrUtils,RTMB (≥ 1.7), stats,stringr,TMB, utils
LinkingTo:Rcpp,RcppEigen,zigg
Suggests:knitr,rmarkdown,testthat (≥ 3.0.0)
Published:2025-08-27
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
Citation:ctsmTMB citation info
Materials:README,NEWS
CRAN checks:ctsmTMB results

Documentation:

Reference manual:ctsmTMB.html ,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_1.0.1.tar.gz
Windows binaries: r-devel:ctsmTMB_1.0.1.zip, r-release:ctsmTMB_1.0.1.zip, r-oldrel:ctsmTMB_1.0.1.zip
macOS binaries: r-release (arm64):ctsmTMB_1.0.1.tgz, r-oldrel (arm64):ctsmTMB_1.0.1.tgz, r-release (x86_64):ctsmTMB_1.0.1.tgz, r-oldrel (x86_64):ctsmTMB_1.0.1.tgz
Old sources: ctsmTMB archive

Linking:

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