kalmanfilter (Q72158)
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Kalman Filter
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | kalmanfilter |
Kalman Filter |
Statements
14 February 2024
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'Rcpp' implementation of the multivariate Kalman filter for state space models that can handle missing values and exogenous data in the observation and state equations. There is also a function to handle time varying parameters. 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/>.
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expanded from: GPL (≥ 2) (English)
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