FKF: Fast Kalman Filter

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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 <marc.weibel@zhaw.ch>
License
GPL (>= 2)
Version
0.1.3

View on CRAN

Man pages

fkf
Fast Kalman filter
plot.fkf
Plotting fkf Objects

Files in this package

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