kalmanfilter: Kalman Filter (original) (raw)
'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: | 2.2.0 |
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| 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: | 2025-10-18 |
| 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.html , <kalmanfilter.pdf> |
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| Vignettes: | Kalman Filter for State Space Models (source, R code) |
Downloads:
| Package source: | kalmanfilter_2.2.0.tar.gz |
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| Windows binaries: | r-devel: kalmanfilter_2.2.0.zip, r-release: kalmanfilter_2.2.0.zip, r-oldrel: kalmanfilter_2.2.0.zip |
| macOS binaries: | r-release (arm64): kalmanfilter_2.2.0.tgz, r-oldrel (arm64): kalmanfilter_2.2.0.tgz, r-release (x86_64): kalmanfilter_2.2.0.tgz, r-oldrel (x86_64): kalmanfilter_2.2.0.tgz |
| Old sources: | kalmanfilter archive |
Reverse dependencies:
| Reverse imports: | autostsm |
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Linking:
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