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: 0.1.4
Depends: R (≥ 2.8), RUnit
Imports: graphics
Published: 2018-07-13
Author: David Luethi, Philipp Erb, Simon Otziger
Maintainer: Paul Smith <paul at waternumbers.co.uk>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: ChangeLog
CRAN checks: FKF results

Downloads:

Reference manual: FKF.pdf
Package source: FKF_0.1.4.tar.gz
Windows binaries: r-devel: FKF_0.1.4.zip, r-release: FKF_0.1.4.zip, r-oldrel: FKF_0.1.4.zip
OS X binaries: r-release: FKF_0.1.4.tgz, r-oldrel: FKF_0.1.4.tgz
Old sources: FKF archive

Reverse dependencies:

Reverse suggests: highfrequency, KFKSDS

Linking:

Please use the canonical form https://CRAN.R-project.org/package=FKF to link to this page.