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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.
Getting started
Browse package contents
Package details |
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| Author | David Luethi [aut], Philipp Erb [aut], Simon Otziger [aut], Daniel McDonald [aut], Paul Smith [aut, cre] (<https://orcid.org/0000-0002-0034-3412>) |
| Maintainer | Paul Smith <paul@waternumbers.co.uk> |
| License | GPL (>= 2) |
| Version | 0.2.6 |
| URL | https://waternumbers.github.io/FKF/ https://github.com/waternumbers/FKF |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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