'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 |
| Reference manual: | kalmanfilter.pdf |
| Vignettes: |
Kalman Filter for State Space Models |
| 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 imports: | autostsm |
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