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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:

Please use the canonical form https://CRAN.R-project.org/package=kalmanfilter to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.