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] (<https://orcid.org/0000-0002-0034-3412>)
MaintainerPaul Smith <paul@waternumbers.co.uk>
LicenseGPL (>= 2)
Version0.2.2
URL https://waternumbers.github.io/FKF/ https://github.com/waternumbers/FKF
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("FKF")

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FKF documentation built on Oct. 18, 2021, 1:08 a.m.