This is a fast and flexible implementation of the Kalman filter and smoother, 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.
|Depends:||R (≥ 3.5.0)|
|Suggests:||knitr, rmarkdown, testthat (≥ 3.0.0)|
|Author:||David Luethi [aut], Philipp Erb [aut], Simon Otziger [aut], Daniel McDonald [aut], Paul Smith [aut, cre]|
|Maintainer:||Paul Smith <paul at waternumbers.co.uk>|
|License:||GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]|
|CRAN checks:||FKF results|
Fast Kalman Filter
|Windows binaries:||r-devel: FKF_0.2.4.zip, r-release: FKF_0.2.4.zip, r-oldrel: FKF_0.2.4.zip|
|macOS binaries:||r-release (arm64): FKF_0.2.4.tgz, r-oldrel (arm64): FKF_0.2.4.tgz, r-release (x86_64): FKF_0.2.4.tgz, r-oldrel (x86_64): FKF_0.2.4.tgz|
|Old sources:||FKF archive|
|Reverse imports:||garma, RcppSMC, tscopula|
|Reverse suggests:||FKF.SP, highfrequency, sarima|
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