CTSM-R – Continuous Time Stochastic Modelling for R

The software tool CTSM is very useful for grey-box modelling of physical systems using data. The grey-box modelling approach bridges the gap between physical and statistical modelling. In this framework the dynamics is described in continuous time, which implies that any physical prior knowledge is easily formulated as a part of the model. CTSM is well suited for modelling both nonlinear and non-stationary systems.

Observations are discrete time data (time series), and there are no restriction on the sampling time, which can be either constant or fully varying in time.

CTSM is widely used for estimating and identifying models for physical systems, like the heat dynamics of a building, the hydraulics in a rainfall run-off system, bacterial growth, pharmacokinetic-pharmacodynamic (PK/PD) models, the dynamics of a heat pump, etc.