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

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1.0.2 by Daniel Grose, 3 months ago

Browse source code at

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

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL license

Imports Rcpp, Rdpack, ggplot2, reshape2, Matrix

Linking to Rcpp, RcppEigen

See at CRAN