kimfilter
Kim Filter
'Rcpp' implementation of the multivariate Kim filter, which combines the Kalman and Hamilton filters for state probability inference. The filter is designed for state space models and can handle missing values and exogenous data in the observation and state equations. 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/6444.001.0001http://econ.korea.ac.kr/~cjkim/.
- Version1.0.3
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications"
- Last release03/08/2024
Documentation
Team
Alex Hubbard
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Last 30 days
This package has been downloaded 251 times in the last 30 days. Now we're getting somewhere! Enough downloads to populate a lively group chat. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 4 times.
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Last 365 days
This package has been downloaded 3,631 times in the last 365 days. Consider this 'mid-tier influencer' status—if it were a TikTok, it would get a nod from nieces and nephews. The day with the most downloads was Jul 21, 2024 with 71 downloads.
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Dependencies
- Imports1 package
- Suggests7 packages
- Linking To2 packages