Fast Kalman Filter

This is a fast and flexible implementation of the Kalman filter and smoother, which can deal with NAs. It is entirely written in C and relies fully on linear algebra subroutines contained in BLAS and LAPACK. Due to the speed of the filter, the fitting of high-dimensional linear state space models to large datasets becomes possible. This package also contains a plot function for the visualization of the state vector and graphical diagnostics of the residuals.


Reference manual

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0.2.3 by Paul Smith, a month ago,

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Browse source code at

Authors: David Luethi [aut] , Philipp Erb [aut] , Simon Otziger [aut] , Daniel McDonald [aut] , Paul Smith [aut, cre]

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Imports graphics

Suggests knitr, rmarkdown, covr, pkgdown, testthat

Imported by garma, tscopula.

Suggested by FKF.SP, KFKSDS, highfrequency, sarima.

See at CRAN