Nothing
kalmanfilter: Kalman Filter
'Rcpp' implementation of the multivariate Kalman filter for state space models that can handle missing values and exogenous data in the observation and state equations. There is also a function to handle time varying parameters. Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" <doi:10.7551/mitpress/6444.001.0001><http://econ.korea.ac.kr/~cjkim/>.
Getting started
Browse package contents
Package details |
|
|---|---|
| Author | Alex Hubbard [aut, cre] |
| Maintainer | Alex Hubbard <hubbard.alex@gmail.com> |
| License | GPL (>= 2) |
| Version | 2.1.1 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
|
Try the kalmanfilter package in your browser
Any scripts or data that you put into this service are public.
