FKF-package: FKF: Fast Kalman Filter
In FKF: Fast Kalman Filter
FKF-package R Documentation
FKF: Fast Kalman Filter
Description
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.
Author(s)
Maintainer: Paul Smith paul@waternumbers.co.uk (ORCID)
Authors:
David Luethi
Philipp Erb
Simon Otziger
Daniel McDonald daniel@stat.ubc.ca
See Also
Useful links:
FKF documentation built on Sept. 11, 2024, 8:21 p.m.
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| FKF-package | R Documentation |
FKF: Fast Kalman Filter
Description
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.
Author(s)
Maintainer: Paul Smith paul@waternumbers.co.uk (ORCID)
Authors:
David Luethi
Philipp Erb
Simon Otziger
Daniel McDonald daniel@stat.ubc.ca
See Also
Useful links:
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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