kimfilter-package: kimfilter: Kim Filter
In kimfilter: Kim Filter
kimfilter-package R Documentation
kimfilter: Kim Filter
Description
'Rcpp' implementation of the multivariate Kim filter, which combines the Kalman and Hamilton filters for state probability inference. The filter is designed for state space models and can handle missing values and exogenous data in the observation and state equations. 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
kimfilter documentation built on May 29, 2024, 9:57 a.m.
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| kimfilter-package | R Documentation |
kimfilter: Kim Filter
Description
'Rcpp' implementation of the multivariate Kim filter, which combines the Kalman and Hamilton filters for state probability inference. The filter is designed for state space models and can handle missing values and exogenous data in the observation and state equations. 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.
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