Package: kimfilter 2.0.0

kimfilter: Kim Filter

'Rcpp' implementation of the multivariate Kim filter, which combines the Kalman and Hamilton filters for state probability inference. The filter is designed for state space models and can handle missing values and exogenous data in the observation and state equations. 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]

kimfilter_2.0.0.tar.gz
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kimfilter_2.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
kimfilter/json (API)

# Install 'kimfilter' in R:

install.packages('kimfilter', repos = c('https://hubbardalex.r-universe.dev', 'https://cloud.r-project.org'))

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3
openmp– GCC OpenMP (GOMP) support library

Datasets:

sw_dcf - Stock and Watson Markov Switching Dynamic Common Factor Data Set

On CRAN:

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

openblas cpp openmp

2.56 score 1 stars 18 scripts 288 downloads 2 exports 2 dependencies

Last updated from:93b663e1ed. Checks:13 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	OK	897
linux-devel-x86_64	OK	119
source / vignettes	OK	193
linux-release-arm64	OK	141
linux-release-x86_64	OK	4013
macos-release-arm64	OK	217
macos-release-x86_64	OK	334
macos-oldrel-arm64	OK	183
macos-oldrel-x86_64	OK	263
windows-devel	OK	157
windows-release	OK	109
windows-oldrel	OK	111
wasm-release	OK	684