Innovative and/or Additive Outlier Robust Kalman Filtering

Implements a series of robust Kalman filtering approaches. It implements the additive outlier robust filters of Ruckdeschel et al. (2014) and Agamennoni et al. (2018) , the innovative outlier robust filter of Ruckdeschel et al. (2014) , as well as the innovative and additive outlier robust filter of Fisch et al. (2020) .


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


1.0.1 by Daniel Grose, 3 months ago

Browse source code at

Authors: Alexander Fisch [aut] , Daniel Grose [aut, cre] , Idris Eckley [ths] , Paul Fearnhead [ths] , Bardwell Lawrence [ctb]

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL license

Imports Rcpp, Rdpack, ggplot2, reshape2, Matrix

Linking to Rcpp, RcppEigen

See at CRAN