FKF (Q26560): Difference between revisions
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Property / author: Paul Smith / rank | |||||||||||||||
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software version identifier: ≥ 3.5.0 | |||||||||||||||
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Property / source code repository: https://github.com/cran/FKF / rank | |||||||||||||||
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Property / Software Heritage ID: swh:1:snp:5fdc9e3d80600c6e977b6d956866b1ff1f443531 / rank | |||||||||||||||
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Property / Software Heritage ID: swh:1:snp:5fdc9e3d80600c6e977b6d956866b1ff1f443531 / qualifier | |||||||||||||||
Property / Software Heritage ID: swh:1:snp:5fdc9e3d80600c6e977b6d956866b1ff1f443531 / qualifier | |||||||||||||||
point in time: 15 March 2024
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Latest revision as of 18:08, 21 March 2024
Fast Kalman Filter
Language | Label | Description | Also known as |
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English | FKF |
Fast Kalman Filter |
Statements
30 January 2024
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This is a fast and flexible implementation of the Kalman filter and smoother, which can deal with NAs. It is entirely written in C and relies fully on linear algebra subroutines contained in BLAS and LAPACK. Due to the speed of the filter, the fitting of high-dimensional linear state space models to large datasets becomes possible. This package also contains a plot function for the visualization of the state vector and graphical diagnostics of the residuals.
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expanded from: GPL (≥ 2) (English)
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