Package: kalmanfilter 2.1.1

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:Alex Hubbard [aut, cre]

kalmanfilter_2.1.1.tar.gz
kalmanfilter_2.1.1.zip(r-4.5)kalmanfilter_2.1.1.zip(r-4.4)kalmanfilter_2.1.1.zip(r-4.3)
kalmanfilter_2.1.1.tgz(r-4.4-x86_64)kalmanfilter_2.1.1.tgz(r-4.4-arm64)kalmanfilter_2.1.1.tgz(r-4.3-x86_64)kalmanfilter_2.1.1.tgz(r-4.3-arm64)
kalmanfilter_2.1.1.tar.gz(r-4.5-noble)kalmanfilter_2.1.1.tar.gz(r-4.4-noble)
kalmanfilter_2.1.1.tgz(r-4.4-emscripten)kalmanfilter_2.1.1.tgz(r-4.3-emscripten)
kalmanfilter.pdf |kalmanfilter.html
kalmanfilter/json (API)
NEWS

# Install 'kalmanfilter' in R:
install.packages('kalmanfilter', repos = c('https://hubbardalex.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.89 score 1 packages 13 scripts 556 downloads 1 exports 2 dependencies

Last updated 8 months agofrom:57040d7b2b. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 04 2024
R-4.5-win-x86_64OKNov 04 2024
R-4.5-linux-x86_64OKNov 04 2024
R-4.4-win-x86_64OKNov 04 2024
R-4.4-mac-x86_64OKNov 04 2024
R-4.4-mac-aarch64OKNov 04 2024
R-4.3-win-x86_64OKNov 04 2024
R-4.3-mac-x86_64OKNov 04 2024
R-4.3-mac-aarch64OKNov 04 2024

Exports:kalman_filter

Dependencies:RcppRcppArmadillo

Kalman Filter for State Space Models

Rendered fromkalmanfilter_vignette.Rmdusingknitr::rmarkdownon Nov 04 2024.

Last update: 2024-02-15
Started: 2022-09-02