FKF.SP

Fast Kalman Filtering Through Sequential Processing

CRAN Package

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


Insights

Last 30 days

Last 365 days

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Data provided by cranlogs


Binaries


Dependencies

  • Imports1 package
  • Suggests5 packages
  • Reverse Imports1 package