This is a fast and flexible implementation of the Kalman filter, which can deal with NAs. It is entirely written in C and relies fully on linear algebra subroutines contained in BLAS and LAPACK. Due to the speed of the filter, the fitting of high-dimensional linear state space models to large datasets becomes possible. This package also contains a plot function for the visualization of the state vector and graphical diagnostics of the residuals.
|Author||David Luethi, Philipp Erb, Simon Otziger|
|Date of publication||2014-04-22 13:35:35|
|Maintainer||Philipp Erb <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on R-Forge|
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