FKF
type: Item
swMATH work ID: 14663
instance of: R package
software version identifier: 0.2.4
software version identifier: 0.0.1
software version identifier: 0.0.2
software version identifier: 0.1.0
software version identifier: 0.1.1
software version identifier: 0.1.2
software version identifier: 0.1.3
software version identifier: 0.1.4
software version identifier: 0.1.5
software version identifier: 0.1.6
software version identifier: 0.1.7
software version identifier: 0.2.1
software version identifier: 0.2.2
software version identifier: 0.2.3
software version identifier: 0.2.5
CRAN project: FKF
programmed in: R
last update: 2024-01-30T00:00:00Z
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.
author: David Luethi
author: Philipp Erb
author: Simon Otziger
author: Daniel McDonald
author: Paul Smith
copyright license: GNU General Public License, version 2.0
copyright license: GNU General Public License, version 3.0
imports: graphics
MaRDI profile type: Software
maintained by: Paul Smith
depends on software: R
source code repository: FKF
description: Fast Kalman Filter