Fast Kalman Filter

This is a fast and flexible implementation of the Kalman filter, 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.


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Reference manual

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install.packages("FKF")

0.1.7 by Paul Smith, 4 months ago


https://waternumbers.github.io/FKF/, https://github.com/waternumbers/FKF


Report a bug at https://github.com/waternumbers/FKF/issues


Browse source code at https://github.com/cran/FKF


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


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL (>= 2) license


Imports graphics

Suggests RUnit, knitr, rmarkdown, covr, pkgdown


Imported by garma, sarima.

Suggested by KFKSDS, highfrequency.


See at CRAN