FKF-package

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.

internal

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.

Paul Smith

Fast Kalman Filter

David Luethi

Philipp Erb

Simon Otziger

Daniel McDonald

FKF-package function

Maintainer: Paul Smith <a href="/link/paul%40waternumbers.co.uk?package=FKF&version=0.2.6" data-mini-rdoc="FKF::paul@waternumbers.co.uk">paul@waternumbers.co.uk</a> (<a href="https://orcid.org/0000-0002-0034-3412">ORCID</a>)
Authors:<ul>
<li>David Luethi</li>
<li>Philipp Erb</li>
<li>Simon Otziger</li>
<li>Daniel McDonald <a href="/link/daniel%40stat.ubc.ca?package=FKF&version=0.2.6" data-mini-rdoc="FKF::daniel@stat.ubc.ca">daniel@stat.ubc.ca</a></li>
</ul>

Author

FKF: Fast Kalman Filter — FKF-package

Maintainer: Paul Smith <a href='mailto:paul@waternumbers.co.uk'>paul@waternumbers.co.uk</a> (<a href='https://orcid.org/0000-0002-0034-3412'>ORCID</a>)
Authors:<ul>
<li>David Luethi</li>
<li>Philipp Erb</li>
<li>Simon Otziger</li>
<li>Daniel McDonald <a href='mailto:daniel@stat.ubc.ca'>daniel@stat.ubc.ca</a></li>
</ul>

FKF-package: FKF: Fast Kalman Filter

Description

Arguments

Author

See Also