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.
|Author||David Luethi, Philipp Erb, Simon Otziger|
|Date of publication||2014-02-10 18:15:20|
|Maintainer||Marc Weibel <firstname.lastname@example.org>|
|License||GPL (>= 2)|