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.
- David Luethi, Philipp Erb, Simon Otziger
- Date of publication
- 2014-02-10 18:15:20
- Marc Weibel <email@example.com>
- GPL (>= 2)
Files in this package