FKF (0.1.3)

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Fast Kalman Filter.

http://cran.r-project.org/web/packages/FKF

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.

Maintainer: Marc Weibel
Author(s): David Luethi, Philipp Erb, Simon Otziger

License: GPL (>= 2)

Uses: RUnit
Reverse suggests: dlmodeler, highfrequency

Released over 3 years ago.


5 previous versions

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