FKF: Fast Kalman Filter
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.
| Version: |
0.2.3 |
| Depends: |
R (≥ 2.8) |
| Imports: |
graphics |
| Suggests: |
knitr, rmarkdown, covr, pkgdown, testthat (≥ 3.0.0) |
| Published: |
2021-12-17 |
| 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> |
| BugReports: |
https://github.com/waternumbers/FKF/issues |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://waternumbers.github.io/FKF/,
https://github.com/waternumbers/FKF |
| NeedsCompilation: |
yes |
| Materials: |
README NEWS |
| In views: |
TimeSeries |
| CRAN checks: |
FKF results |
Documentation:
Downloads:
Reverse dependencies:
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