Package: kimfilter 1.0.3

Alex Hubbard

kimfilter: Kim Filter

'Rcpp' implementation of the multivariate Kim filter, which combines the Kalman and Hamilton filters for state probability inference. The filter is designed for state space models and can handle missing values and exogenous data in the observation and state equations. 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]

kimfilter_1.0.3.tar.gz
kimfilter_1.0.3.tar.gz(r-4.5-noble)kimfilter_1.0.3.tar.gz(r-4.4-noble)
kimfilter_1.0.3.tgz(r-4.4-emscripten)kimfilter_1.0.3.tgz(r-4.3-emscripten)
kimfilter.pdf |kimfilter.html
kimfilter/json (API)
NEWS

# Install 'kimfilter' in R:
install.packages('kimfilter', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:
  • sw_dcf - Stock and Watson Markov Switching Dynamic Common Factor Data Set

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

openblascppopenmp

2.04 score 11 scripts 268 downloads 2 exports 2 dependencies

Last updated 9 months agofrom:19e07d8a6e. Checks:OK: 2. Indexed: no.

TargetResultDate
Doc / VignettesOKDec 04 2024
R-4.5-linux-x86_64OKDec 04 2024

Exports:kim_filterss_prob

Dependencies:RcppRcppArmadillo

Kim Filter for State Space Models

Rendered fromkimfilter_vignette.Rmdusingknitr::rmarkdownon Dec 04 2024.

Last update: 2022-09-14
Started: 2022-09-14