FKF: Fast Kalman Filter

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

Version: 0.2.5
Depends: R (≥ 3.5.0)
Imports: graphics
Suggests: knitr, rmarkdown, testthat (≥ 3.0.0)
Published: 2024-01-30
DOI: 10.32614/CRAN.package.FKF
Author: David Luethi [aut], Philipp Erb [aut], Simon Otziger [aut], Daniel McDonald [aut], Paul Smith ORCID iD [aut, cre]
Maintainer: Paul Smith <paul at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README NEWS
In views: TimeSeries
CRAN checks: FKF results


Reference manual: FKF.pdf
Vignettes: Fast Kalman Filter


Package source: FKF_0.2.5.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): FKF_0.2.5.tgz, r-oldrel (arm64): FKF_0.2.5.tgz, r-release (x86_64): FKF_0.2.5.tgz, r-oldrel (x86_64): FKF_0.2.5.tgz
Old sources: FKF archive

Reverse dependencies:

Reverse imports: garma, RcppSMC, tscopula
Reverse suggests: FKF.SP, highfrequency, sarima


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