FKF (Q26560)

From MaRDI portal
Fast Kalman Filter
Language Label Description Also known as
English
FKF
Fast Kalman Filter

    Statements

    0 references
    0 references
    0.2.4
    10 October 2022
    0 references
    0.0.1
    12 February 2009
    0 references
    0.0.2
    18 July 2009
    0 references
    0.1.0
    19 October 2009
    0 references
    0.1.1
    3 November 2010
    0 references
    0.1.2
    21 March 2012
    0 references
    0.1.3
    10 February 2014
    0 references
    0.1.4
    13 July 2018
    0 references
    0.1.5
    20 July 2018
    0 references
    0.1.6
    1 June 2020
    0 references
    0.1.7
    14 June 2020
    0 references
    0.2.1
    28 September 2021
    0 references
    0.2.2
    17 October 2021
    0 references
    0.2.3
    17 December 2021
    0 references
    0.2.5
    30 January 2024
    0 references
    0 references
    0 references
    30 January 2024
    0 references
    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
    0 references
    0 references