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Fast Kalman Filter
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FKF |
Fast Kalman Filter |
Statements
30 January 2024
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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.
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expanded from: GPL (≥ 2) (English)
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