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.
|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 <email@example.com>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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