kalmanfilter2.1.1 package

Kalman Filter

contains

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gen_inv

Generalized matrix inverse

kalman_filter

Kalman Filter

kalman_filter_cpp

Kalman Filter

kalmanfilter-package

kalmanfilter: Kalman Filter

Rginv

R's implementation of the Moore-Penrose pseudo matrix inverse

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'Rcpp' implementation of the multivariate Kalman filter for state space models that can handle missing values and exogenous data in the observation and state equations. There is also a function to handle time varying parameters. 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/6444.001.0001><http://econ.korea.ac.kr/~cjkim/>.

  • Maintainer: Alex Hubbard
  • License: GPL (>= 2)
  • Last published: 2024-03-08