FKF: Fast Kalman Filter

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.

Version: 0.1.3
Depends: R (≥ 2.8), RUnit
Imports: graphics
Published: 2014-02-10
Author: David Luethi, Philipp Erb, Simon Otziger
Maintainer: Marc Weibel <marc.weibel at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: ChangeLog
In views: TimeSeries
CRAN checks: FKF results


Reference manual: FKF.pdf
Package source: FKF_0.1.3.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: FKF_0.1.3.tgz
OS X Mavericks binaries: r-oldrel: FKF_0.1.3.tgz
Old sources: FKF archive

Reverse dependencies:

Reverse depends: schwartz97
Reverse imports: highfrequency, partialAR, partialCI
Reverse suggests: dlmodeler, KFKSDS


Please use the canonical form to link to this page.