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.

Install the latest version of this package by entering the following in R:
install.packages("FKF")
AuthorDavid Luethi, Philipp Erb, Simon Otziger
Date of publication2014-02-10 18:15:20
MaintainerMarc Weibel <marc.weibel@zhaw.ch>
LicenseGPL (>= 2)
Version0.1.3

View on CRAN

Files

inst
inst/unitTests
inst/unitTests/runit.filter.R
inst/unitTests/Makefile
tests
tests/doRUnit.R
src
src/Makevars
src/fkflib.c
NAMESPACE
demo
demo/00Index
demo/FKF-Ex.R
R
R/fkf.r R/plot.fkf.r
MD5
DESCRIPTION
ChangeLog
man
man/fkf.Rd man/plot.fkf.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.