FKF.SP: Fast Kalman Filtering Through Sequential Processing

Fast and flexible Kalman filtering implementation utilizing sequential processing, designed for efficient parameter estimation through maximum likelihood estimation. Sequential processing is a univariate treatment of a multivariate series of observations and can benefit from computational efficiency over traditional Kalman filtering when independence is assumed in the variance of the disturbances of the measurement equation. Sequential processing is described in the textbook of Durbin and Koopman (2001, ISBN:978-0-19-964117-8). 'FKF.SP' was built upon the existing 'FKF' package and is, in general, a faster Kalman filter.

Package details

AuthorThomas Aspinall [aut, cre] (<>), Adrian Gepp [aut] (<>), Geoff Harris [aut] (<>), Simone Kelly [aut] (<>), Colette Southam [aut] (<>), Bruce Vanstone [aut] (<>), David Luethi [ctb], Philipp Erb [ctb], Simon Otziger [ctb], Paul Smith [ctb] (<>)
MaintainerThomas Aspinall <>
Package repositoryView on CRAN
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FKF.SP documentation built on May 4, 2021, 9:06 a.m.