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: |
0.1.3 |
| Depends: |
R (≥ 2.8), RUnit |
| Imports: |
graphics |
| Published: |
2014-02-10 |
| Author: |
David Luethi, Philipp Erb, Simon Otziger |
| Maintainer: |
ORPHANED |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
yes |
| Materials: |
ChangeLog |
| In views: |
TimeSeries |
| CRAN checks: |
FKF results |
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