FKF (Q26560): Difference between revisions

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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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Latest revision as of 17:08, 21 March 2024

Fast Kalman Filter

Language	Label	Description	Also known as
English	FKF	Fast Kalman Filter

Statements

instance of

R package

0 references

software version identifier

0.2.4

publication date

10 October 2022

0 references

0.0.1

publication date

12 February 2009

0 references

0.0.2

publication date

18 July 2009

0 references

0.1.0

publication date

19 October 2009

0 references

0.1.1

publication date

3 November 2010

0 references

0.1.2

publication date

21 March 2012

0 references

0.1.3

publication date

10 February 2014

0 references

0.1.4

publication date

13 July 2018

0 references

0.1.5

publication date

20 July 2018

0 references

0.1.6

publication date

1 June 2020

0 references

0.1.7

publication date

14 June 2020

0 references

0.2.1

publication date

28 September 2021

0 references

0.2.2

publication date

17 October 2021

0 references

0.2.3

publication date

17 December 2021

0 references

0.2.5

publication date

30 January 2024

0 references

programmed in

R

0 references

last update

30 January 2024

0 references

description

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.

0 references

0 references

0 references

0 references

0 references

0 references