FKF: Fast Kalman Filter

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.

Version: 0.2.6
Depends: R (≥ 3.5.0)
Imports: graphics
Suggests: knitr, rmarkdown, testthat (≥ 3.0.0)
Published: 2024-09-08
DOI: 10.32614/CRAN.package.FKF
Author: David Luethi [aut], Philipp Erb [aut], Simon Otziger [aut], Daniel McDonald [aut], Paul Smith ORCID iD [aut, cre]
Maintainer: Paul Smith <paul at waternumbers.co.uk>
BugReports: https://github.com/waternumbers/FKF/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://waternumbers.github.io/FKF/, https://github.com/waternumbers/FKF
NeedsCompilation: yes
Materials: README NEWS
In views: TimeSeries
CRAN checks: FKF results

Documentation:

Reference manual: FKF.pdf
Vignettes: Fast Kalman Filter (source, R code)

Downloads:

Package source: FKF_0.2.6.tar.gz
Windows binaries: r-devel: FKF_0.2.6.zip, r-release: FKF_0.2.6.zip, r-oldrel: FKF_0.2.6.zip
macOS binaries: r-release (arm64): FKF_0.2.6.tgz, r-oldrel (arm64): FKF_0.2.6.tgz, r-release (x86_64): FKF_0.2.6.tgz, r-oldrel (x86_64): FKF_0.2.6.tgz
Old sources: FKF archive

Reverse dependencies:

Reverse imports: RcppSMC, tscopula
Reverse suggests: FKF.SP, highfrequency, sarima

Linking:

Please use the canonical form https://CRAN.R-project.org/package=FKF to link to this page.