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) .


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Reference manual

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install.packages("RobKF")

1.0.0 by Daniel Grose, 3 months ago


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


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