kalmanfilter-package: kalmanfilter: Kalman Filter
In kalmanfilter: Kalman Filter
kalmanfilter-package R Documentation
kalmanfilter: Kalman Filter
Description
'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" \Sexpr[results=rd]{tools:::Rd_expr_doi("10.7551/mitpress/6444.001.0001")}http://econ.korea.ac.kr/~cjkim/.
Author(s)
Maintainer: Alex Hubbard hubbard.alex@gmail.com
kalmanfilter documentation built on May 29, 2024, 6:10 a.m.
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.
| kalmanfilter-package | R Documentation |
kalmanfilter: Kalman Filter
Description
'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" \Sexpr[results=rd]{tools:::Rd_expr_doi("10.7551/mitpress/6444.001.0001")}http://econ.korea.ac.kr/~cjkim/.
Author(s)
Maintainer: Alex Hubbard hubbard.alex@gmail.com
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.