KFAS (0.3.1)

Multivariate Kalman filter and smoother, simulation smoother and forecasting.

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

Fast multivariate Kalman filter, smoother, simulation smoother and forecasting. Uses exact diffuse initialisation when distributions of some or all elements of initial state vector are unknown.

Maintainer: Jouni Lehtonen
Author(s): Jouni Lehtonen <jouni.v.t.lehtonen@jyu.fi>

License: GPL (>= 2)

Uses: Does not use any package
Reverse depends: MARSS, networkTomography, Peak2Trough, rucm, sspir
Reverse suggests: bssm, dlmodeler, ggfortify, MARSS, tscount

Released over 9 years ago.