FKF

Fast Kalman Filter

David Luethi, Philipp Erb, Simon Otziger, Daniel McDonald, Paul Smith

Last update: 30 January 2024

Software version identifier: 0.2.4, 0.0.1, 0.0.2, 0.1.0, 0.1.1, 0.1.2, 0.1.3, 0.1.4, 0.1.5, 0.1.6, 0.1.7, 0.2.1, 0.2.2, 0.2.3, 0.2.5

Source code repository: https://github.com/cran/FKF

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

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.