FKF: Fast Kalman Filter

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.

AuthorDavid Luethi, Philipp Erb, Simon Otziger
Date of publication2014-04-22 13:35:35
MaintainerPhilipp Erb <erb.philipp@gmail.com>
LicenseGPL (>= 2)
Version0.1.2

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Files

ChangeLog
DESCRIPTION
Fixme
NAMESPACE
R
R/fkf.r R/plot.fkf.r
inst
inst/unitTests
inst/unitTests/Makefile
inst/unitTests/runit.filter.R
man
man/fkf.Rd man/plot.fkf.Rd
src
src/Makevars
src/fkflib.c
tests
tests/doRUnit.R

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

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