FKF.SP
Fast Kalman Filtering Through Sequential Processing
Fast and flexible Kalman filtering and smoothing implementation utilizing sequential processing, designed for efficient parameter estimation through maximum likelihood estimation. Sequential processing is a univariate treatment of a multivariate series of observations and can benefit from computational efficiency over traditional Kalman filtering when independence is assumed in the variance of the disturbances of the measurement equation. Sequential processing is described in the textbook of Durbin and Koopman (2001, ISBN:978-0-19-964117-8). 'FKF.SP' was built upon the existing 'FKF' package and is, in general, a faster Kalman filter/smoother.
- Version0.3.1
- R versionunknown
- LicenseGPL-3
- Needs compilation?Yes
- Last release10/10/2022
Documentation
Team
Thomas Aspinall
Adrian Gepp
Geoff Harris
Simone Kelly
Colette Southam
Bruce Vanstone
David Luethi
Show author detailsRolesContributorPhilipp Erb
Show author detailsRolesContributorSimon Otziger
Show author detailsRolesContributorPaul Smith
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