kalmanfilter

MaRDI QIDQ72158CRANFDO

Authors Alex Hubbard

Last update 14 February 2024

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 2.0.1, 1.0.0, 2.0.0, 2.0.2, 2.1.0

Description

'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/>.

Cites work

• State-Space Models with Regime Switching

Cited in

(1)

• autostsm

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