NEWS.md

In kalmanfilter: Kalman Filter

kalmanfilter 2.1.1

Minor changes

• added R function kalman_filter to auto select kalman_filter_cpp or kalman_filter_tvp_cpp

kalmanfilter 2.1

Major changes

• added kalman_filter_tvp for time varying parameters

kalmanfilter 2.0.2

Minor changes

• updated to use sentinel "_PACKAGE"

kalmanfilter 2.0.1

Minor changes

• Updated Rcpp Rginv function to matrix that has no positive values in SVD.

kalmanfilter 2.0

Minor changes

• Updated Rcpp code to handle deprecation of << assignment operator

Major changes

• Updated Rcpp code to handle NULL values for the exogenous and weight matrices
• Updated Rcpp code to handle cases without exogenous coefficient matrices in the state space model
• Removed R wrapper functions
• Added Stock and Watson dynamic common factor model example to the vignette

kalmanfilter 1.0

Bug fixes

• none

Major changes

• Initial release

kalmanfilter documentation built on May 29, 2024, 6:10 a.m.