FKF: Fast Kalman Filter
Version 0.1.3

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.

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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
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("FKF")

Getting started

Man pages

fkf: Fast Kalman filter
plot.fkf: Plotting fkf Objects

Functions

FKF Man page
fkf Man page Source code
plot.fkf Man page Source code

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
FKF documentation built on May 29, 2017, 9:48 a.m.