Package: kalmanfilter 2.1.1
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:
kalmanfilter_2.1.1.tar.gz
kalmanfilter_2.1.1.tar.gz(r-4.5-noble)kalmanfilter_2.1.1.tar.gz(r-4.4-noble)
kalmanfilter_2.1.1.tgz(r-4.4-emscripten)kalmanfilter_2.1.1.tgz(r-4.3-emscripten)
kalmanfilter.pdf |kalmanfilter.html✨
kalmanfilter/json (API)
NEWS
| # Install 'kalmanfilter' in R: |
| install.packages('kalmanfilter', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
- sw_dcf - Stock and Watson Dynamic Common Factor Data Set
- treasuries - Treasuries
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 10 months agofrom:57040d7b2b. Checks:OK: 2. Indexed: no.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Dec 04 2024 |
| R-4.5-linux-x86_64 | OK | Dec 04 2024 |
Exports:kalman_filter
Dependencies:RcppRcppArmadillo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Check if list contains a name | contains |
| Generalized matrix inverse | gen_inv |
| Kalman Filter | kalman_filter |
| Kalman Filter | kalman_filter_cpp |
| R's implementation of the Moore-Penrose pseudo matrix inverse | Rginv |
| Stock and Watson Dynamic Common Factor Data Set | sw_dcf |
| Treasuries | treasuries |
