Package: kalmanfilter 2.2.0

Alex Hubbard

kalmanfilter: Kalman Filter

'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/>.

Authors:Alex Hubbard [aut, cre]

kalmanfilter_2.2.0.tar.gz
kalmanfilter_2.2.0.tar.gz(r-4.7-arm64)kalmanfilter_2.2.0.tar.gz(r-4.7-x86_64)kalmanfilter_2.2.0.tar.gz(r-4.6-arm64)kalmanfilter_2.2.0.tar.gz(r-4.6-x86_64)
kalmanfilter_2.2.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
kalmanfilter/json (API)
NEWS

# Install 'kalmanfilter' in R:
install.packages('kalmanfilter', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))
Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

openblascppopenmp

2.56 score 1 packages 12 scripts 372 downloads 1 exports 2 dependencies

Last updated from:1b8c046548. Checks:6 OK. Indexed: no.

TargetResultTimeFilesSyslog
linux-devel-arm64OK129
linux-devel-x86_64OK134
source / vignettesOK210
linux-release-arm64OK132
linux-release-x86_64OK139
wasm-releaseOK121

Exports:kalman_filter

Dependencies:RcppRcppArmadillo

Kalman Filter for State Space Models

Alex Hubbard

Rendered fromkalmanfilter_vignette.Rmdusingknitr::rmarkdownon Jun 15 2026.

Last update: 2025-10-18
Started: 2022-09-02