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

Documentation:

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

Downloads:

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

Linking:

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