FKF: Fast Kalman Filter
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.
||R (≥ 2.8), RUnit
||David Luethi, Philipp Erb, Simon Otziger
||Marc Weibel <marc.weibel at zhaw.ch>
||GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
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