Package: kimfilter
Type: Package
Title: Kim Filter
Version: 2.0.0
Date: 2026-05-01
Authors@R: 
  c(person(given = "Alex", 
           family = "Hubbard", 
           role = c("aut", "cre"), 
           email = "hubbard.alex@gmail.com"))
Description: '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/>.
License: GPL (>= 2)
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
VignetteBuilder: knitr
Encoding: UTF-8
Config/roxygen2/version: 8.0.0
NeedsCompilation: yes
Packaged: 2026-06-06 05:57:31 UTC; root
Author: Alex Hubbard [aut, cre]
Maintainer: Alex Hubbard <hubbard.alex@gmail.com>
Depends: R (>= 3.5.0)
Repository: https://hubbardalex.r-universe.dev
Date/Publication: 2026-05-07 12:14:44 UTC
RemoteUrl: https://github.com/cran/kimfilter
RemoteRef: HEAD
RemoteSha: 93b663e1ed5b189a367d3af7bd80a4247ffee277