This is a fast and flexible implementation of the Kalman filter, 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.

Documentation

Manual: FKF.pdf
Vignette: None available.

Maintainer: Marc Weibel <marc.weibel at zhaw.ch>

Author(s): David Luethi, Philipp Erb, Simon Otziger

Install package and any missing dependencies by running this line in your R console:

install.packages("FKF")

Depends R(>= 2.8), RUnit
Imports graphics
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depends
schwartz97
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imports
highfrequency, partialAR, partialCI
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dlmodeler, KFKSDS
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Package FKF
Materials
URL
Task Views TimeSeries
Version 0.1.3
Published 2014-02-10
License GPL (>= 2)
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks FKF check results
Package source FKF_0.1.3.tar.gz