The State Space Model | The Kalman Filter | Prediction Stage | Updating Stage | Kalman Smoothing | Estimation | Implementation | Example: Nelson-Siegel Dynamic Factor Yield Curve Model | With Time-Varying Parameters | Stock and Watson Dynamic Common Factor Model
Package: kalmanfilter 2.2.0
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/>.
Authors:
kalmanfilter_2.2.0.tar.gz
kalmanfilter_2.2.0.zip(r-4.7-x86_64)kalmanfilter_2.2.0.zip(r-4.7-arm64)kalmanfilter_2.2.0.zip(r-4.6-x86_64)kalmanfilter_2.2.0.zip(r-4.6-arm64)kalmanfilter_2.2.0.zip(r-4.5-x86_64)
kalmanfilter_2.2.0.tgz(r-4.6-x86_64)kalmanfilter_2.2.0.tgz(r-4.6-arm64)kalmanfilter_2.2.0.tgz(r-4.5-x86_64)kalmanfilter_2.2.0.tgz(r-4.5-arm64)
kalmanfilter_2.2.0.tar.gz(r-4.7-arm64)kalmanfilter_2.2.0.tar.gz(r-4.7-x86_64)kalmanfilter_2.2.0.tar.gz(r-4.6-arm64)kalmanfilter_2.2.0.tar.gz(r-4.6-x86_64)
kalmanfilter_2.2.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
kalmanfilter/json (API)
| # Install 'kalmanfilter' in R: |
| install.packages('kalmanfilter', repos = c('https://hubbardalex.r-universe.dev', 'https://cloud.r-project.org')) |
Uses libs:
Datasets:
- sw_dcf - Stock and Watson Dynamic Common Factor Data Set
- treasuries - Treasuries
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:1b8c046548. Checks:15 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 129 | ||
| linux-devel-x86_64 | OK | 147 | ||
| source / vignettes | OK | 279 | ||
| linux-release-arm64 | OK | 115 | ||
| linux-release-x86_64 | OK | 145 | ||
| macos-release-arm64 | OK | 116 | ||
| macos-release-x86_64 | OK | 238 | ||
| macos-oldrel-arm64 | OK | 92 | ||
| macos-oldrel-x86_64 | OK | 228 | ||
| windows-devel-arm64 | OK | 331 | ||
| windows-devel-x86_64 | OK | 143 | ||
| windows-release-arm64 | OK | 324 | ||
| windows-release-x86_64 | OK | 113 | ||
| windows-oldrel-x86_64 | OK | 122 | ||
| wasm-release | OK | 113 |
Exports:kalman_filter
Dependencies:RcppRcppArmadillo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Kalman Filter | kalman_filter |
| Stock and Watson Dynamic Common Factor Data Set | sw_dcf |
| Treasuries | treasuries |