KFKSDS: Kalman Filter, Smoother and Disturbance Smoother

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Naive implementation of the Kalman filter, smoother and disturbance smoother for state space models.

Author
Javier López-de-Lacalle
Date of publication
2015-01-28 20:51:01
Maintainer
Javier López-de-Lacalle <javlacalle@yahoo.es>
License
GPL-2
Version
1.6
URLs

View on CRAN

Man pages

DS
Disturbance Smoother for State Space Models
KF
Kalman Filter for State Space Models
KF-interfaces
Kalman Filter
KFKSDS
Kalman Filter, Smoother and Disturbance Smoother
KFKSDS-package
Kalman Filter, Smoother and Disturbance Smoother
KS
Kalman Smoother for State Space Models
predict-stsmSS
Kalman Filter for State Space Models

Files in this package

KFKSDS
KFKSDS/inst
KFKSDS/inst/tests
KFKSDS/inst/tests/KF-derivatives.R
KFKSDS/inst/tests/KF-deriv-xreg.R
KFKSDS/inst/tests/KS-derivatives.R
KFKSDS/inst/tests/DS-derivatives.R
KFKSDS/src
KFKSDS/src/Makevars
KFKSDS/src/KFKSDS.h
KFKSDS/src/KFKSDS-steady.h
KFKSDS/src/KFKSDS-deriv-steady.cpp
KFKSDS/src/KF-deriv.cpp
KFKSDS/src/KF.h
KFKSDS/src/KF.c
KFKSDS/src/KSDS-deriv.cpp
KFKSDS/NAMESPACE
KFKSDS/NEWS
KFKSDS/R
KFKSDS/R/KSDS.R
KFKSDS/R/DS.R
KFKSDS/R/KS.R
KFKSDS/R/KF-interfaces.R
KFKSDS/R/KF.R
KFKSDS/R/KFKSDS.R
KFKSDS/R/predict-stsmSS.R
KFKSDS/MD5
KFKSDS/DESCRIPTION
KFKSDS/man
KFKSDS/man/predict-stsmSS.Rd
KFKSDS/man/KF.Rd
KFKSDS/man/KS.Rd
KFKSDS/man/DS.Rd
KFKSDS/man/KFKSDS-package.Rd
KFKSDS/man/KF-interfaces.Rd
KFKSDS/man/KFKSDS.Rd