Fast Kalman Filter CRAN Task View: TimeSeries (http://CRAN.R-project.org/view=TimeSeries) 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. Software Depends: R(>= 2.8), RUnit Imports: graphics Philipp Erb <erb.philipp@gmail.com> David Luethi, Philipp Erb, Simon Otziger GPL (>= 2) 2012-03-21 application/tgz http://CRAN.R-project.org/package=FKF