kalmanfilter

CRANkalmanfilterMaRDI QIDQ72158FDOQ72158

Kalman Filter

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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