kalmanfilter: Kalman Filter

'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/>.

Version: 2.1.1
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
Published: 2024-03-08
DOI: 10.32614/CRAN.package.kalmanfilter
Author: Alex Hubbard [aut, cre]
Maintainer: Alex Hubbard <hubbard.alex at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: NEWS
In views: TimeSeries
CRAN checks: kalmanfilter results


Reference manual: kalmanfilter.pdf
Vignettes: Kalman Filter for State Space Models


Package source: kalmanfilter_2.1.1.tar.gz
Windows binaries: r-devel: kalmanfilter_2.1.1.zip, r-release: kalmanfilter_2.1.1.zip, r-oldrel: kalmanfilter_2.1.1.zip
macOS binaries: r-release (arm64): kalmanfilter_2.1.1.tgz, r-oldrel (arm64): kalmanfilter_2.1.1.tgz, r-release (x86_64): kalmanfilter_2.1.1.tgz, r-oldrel (x86_64): kalmanfilter_2.1.1.tgz
Old sources: kalmanfilter archive

Reverse dependencies:

Reverse imports: autostsm


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