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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.
Package details |
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Author | David Luethi, Philipp Erb, Simon Otziger |
Maintainer | Philipp Erb <erb.philipp@gmail.com> |
License | GPL (>= 2) |
Version | 0.1.2 |
Package repository | View on R-Forge |
Installation |
Install the latest version of this package by entering the following in R:
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