Package: kimfilter 2.0.0

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_2.0.0.tar.gz
kimfilter_2.0.0.tar.gz(r-4.7-arm64)kimfilter_2.0.0.tar.gz(r-4.7-x86_64)kimfilter_2.0.0.tar.gz(r-4.6-arm64)kimfilter_2.0.0.tar.gz(r-4.6-x86_64)
kimfilter_2.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
kimfilter/json (API)
NEWS

# Install 'kimfilter' in R:
install.packages('kimfilter', 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:
  • sw_dcf - Stock and Watson Markov Switching Dynamic Common Factor Data Set

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 stars 18 scripts 288 downloads 2 exports 2 dependencies

Last updated from:93b663e1ed. Checks:6 OK. Indexed: no.

TargetResultTimeFilesSyslog
linux-devel-arm64OK1397
linux-devel-x86_64OK152
source / vignettesOK227
linux-release-arm64OK171
linux-release-x86_64OK146
wasm-releaseOK122

Exports:kim_filterss_prob

Dependencies:RcppRcppArmadillo

Kim Filter for State Space Models

Alex Hubbard

Rendered fromkimfilter_vignette.Rmdusingknitr::rmarkdownon Jun 06 2026.

Last update: 2026-05-07
Started: 2022-09-14