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.
Version: | 0.3.1 |
Imports: | mathjaxr |
Suggests: | knitr, rmarkdown, stats, FKF, NFCP |
Published: | 2022-10-10 |
DOI: | 10.32614/CRAN.package.FKF.SP |
Author: | Thomas Aspinall |
Maintainer: | Thomas Aspinall <tomaspinall2512 at gmail.com> |
BugReports: | https://github.com/TomAspinall/FKF.SP/issues |
License: | GPL-3 |
URL: | https://github.com/TomAspinall/FKF.SP |
NeedsCompilation: | yes |
Materials: | README NEWS |
In views: | TimeSeries |
CRAN checks: | FKF.SP results [issues need fixing before 2024-09-23] |
Reference manual: | FKF.SP.pdf |
Vignettes: |
Fast Kalman Filtering using Sequential Processing |
Package source: | FKF.SP_0.3.1.tar.gz |
Windows binaries: | r-devel: FKF.SP_0.3.1.zip, r-release: FKF.SP_0.3.1.zip, r-oldrel: FKF.SP_0.3.1.zip |
macOS binaries: | r-release (arm64): FKF.SP_0.3.1.tgz, r-oldrel (arm64): FKF.SP_0.3.1.tgz, r-release (x86_64): FKF.SP_0.3.1.tgz, r-oldrel (x86_64): FKF.SP_0.3.1.tgz |
Old sources: | FKF.SP archive |
Reverse imports: | NFCP |
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