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: | 0.2.6 |
| Depends: | R (≥ 3.5.0) |
| Imports: | graphics |
| Suggests: | knitr, rmarkdown, testthat (≥ 3.0.0) |
| Published: | 2024-09-08 |
| DOI: | 10.32614/CRAN.package.FKF |
| 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:
| Reference manual: | FKF.pdf |
| Vignettes: |
Fast Kalman Filter (source, R code) |
Downloads:
| Package source: | FKF_0.2.6.tar.gz |
| Windows binaries: | r-devel: FKF_0.2.6.zip, r-release: FKF_0.2.6.zip, r-oldrel: FKF_0.2.6.zip |
| macOS binaries: | r-release (arm64): FKF_0.2.6.tgz, r-oldrel (arm64): FKF_0.2.6.tgz, r-release (x86_64): FKF_0.2.6.tgz, r-oldrel (x86_64): FKF_0.2.6.tgz |
| Old sources: | FKF archive |
Reverse dependencies:
| Reverse imports: | RcppSMC, tscopula |
| Reverse suggests: | FKF.SP, highfrequency, sarima |
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