FKF: Fast Kalman Filter

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.

Version:	0.2.6
Depends:	R (≥ 3.5.0)
Imports:	graphics
Suggests:	knitr, rmarkdown, testthat (≥ 3.0.0)
Published:	2024-09-08
DOI:	10.32614/CRAN.package.FKF
Author:	David Luethi [aut], Philipp Erb [aut], Simon Otziger [aut], Daniel McDonald [aut], Paul Smith [aut, cre]
Maintainer:	Paul Smith <paul at waternumbers.co.uk>
BugReports:	https://github.com/waternumbers/FKF/issues
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL:	https://waternumbers.github.io/FKF/, https://github.com/waternumbers/FKF
NeedsCompilation:	yes
Materials:	README NEWS
In views:	TimeSeries
CRAN checks:	FKF results

Documentation:

Reference manual:	FKF.pdf
Vignettes:	Fast Kalman Filter (source, R code)

Downloads:

Package source:	FKF_0.2.6.tar.gz
Windows binaries:	r-devel: FKF_0.2.6.zip, r-release: FKF_0.2.6.zip, r-oldrel: FKF_0.2.6.zip
macOS binaries:	r-release (arm64): FKF_0.2.6.tgz, r-oldrel (arm64): FKF_0.2.6.tgz, r-release (x86_64): FKF_0.2.6.tgz, r-oldrel (x86_64): FKF_0.2.6.tgz
Old sources:	FKF archive

Reverse dependencies:

Reverse imports:	RcppSMC, tscopula
Reverse suggests:	FKF.SP, highfrequency, sarima

Linking:

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