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:
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')) |
- 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.
Last updated 8 months agofrom:19e07d8a6e. Checks:OK: 2. Indexed: no.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 05 2024 |
| R-4.5-linux-x86_64 | OK | Oct 05 2024 |
Exports:kim_filterss_prob
Dependencies:RcppRcppArmadillo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Check if list contains a name | contains |
| Generalized matrix inverse | gen_inv |
| Kim Filter | kim_filter |
| Kim Filter | kim_filter_cpp |
| R's implementation of the Moore-Penrose pseudo matrix inverse | Rginv |
| Matrix self rowbind | self_rbind |
| Steady State Probabilities | ss_prob |
| Stock and Watson Markov Switching Dynamic Common Factor Data Set | sw_dcf |
