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.

Version: 0.1.2
Depends: R (≥ 2.8), RUnit
Imports: graphics
Published: 2012-03-21
Author: David Luethi, Philipp Erb, Simon Otziger
Maintainer: Philipp Erb <erb.philipp at gmail.com>
License: GPL (≥ 2)
In views: TimeSeries
CRAN checks: FKF results

Downloads:

Package source: FKF_0.1.2.tar.gz
MacOS X binary: FKF_0.1.2.tgz
Windows binary: FKF_0.1.2.zip
Reference manual: FKF.pdf
News/ChangeLog:ChangeLog
Old sources: FKF archive

Reverse dependencies:

Reverse depends: schwartz97
Reverse suggests: dlmodeler