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 <erb.philipp@gmail.com> |

License | GPL (>= 2) |

Version | 0.1.2 |

FKF/ChangeLog

FKF/DESCRIPTION

FKF/Fixme

FKF/NAMESPACE

FKF/R

FKF/R/fkf.r

FKF/R/plot.fkf.r

FKF/inst

FKF/inst/unitTests

FKF/inst/unitTests/Makefile

FKF/inst/unitTests/runit.filter.R

FKF/man

FKF/man/fkf.Rd
FKF/man/plot.fkf.Rd
FKF/src

FKF/src/Makevars

FKF/src/fkflib.c

FKF/tests

FKF/tests/doRUnit.R

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

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