Kalman Filter R package kalmanfilter version 2.2.0 CRAN Task View: TimeSeries (https://CRAN.R-project.org/view=TimeSeries) 'Rcpp' implementation of the multivariate Kalman filter for state space models that can handle missing values and exogenous data in the observation and state equations. There is also a function to handle time varying parameters. Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" <doi:10.7551/mitpress/6444.001.0001><http://econ.korea.ac.kr/~cjkim/>. Software Depends: R (>= 3.5.0) Imports: Rcpp (>= 1.0.9) LinkingTo: Rcpp, RcppArmadillo Suggests: data.table (>= 1.14.2), maxLik (>= 1.5-2), ggplot2 (>= 3.3.6), gridExtra (>= 2.3), knitr, rmarkdown, testthat Alex Hubbard <hubbard.alex@gmail.com> Comprehensive R Archive Network (CRAN) Alex Hubbard [aut, cre] GPL (>= 2) 2025-10-18 application/tgz https://CRAN.R-project.org/package=kalmanfilter doi:10.32614/CRAN.package.kalmanfilter