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.

Package details

AuthorDavid Luethi [aut], Philipp Erb [aut], Simon Otziger [aut], Daniel McDonald [aut], Paul Smith [aut, cre] (<>)
MaintainerPaul Smith <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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FKF documentation built on Oct. 18, 2021, 1:08 a.m.