ctsmTMB - Continuous Time Stochastic Modelling using Template Model Builder

ctsmTMB is an R package for parameter and state estimation and forecasting in stochastic state space systems. These are partially observed state space systems that whose latent states evolve according to a system of stochastic differential equation. The package employs the R6 object for easy model construction, and uses the TMB/RTMB packages for its modern C++ implementations and algorithmic differentiation. The estimation methods implemented are variations of (non-linear) Kalman Filters in addition to the Laplace approximation.