R package. FKF: Fast Kalman Filter. This is a fast and flexible implementation of the Kalman filter, which can deal with NAs. It is entirely written in C and relies fully on linear algebra subroutines contained in BLAS and LAPACK. Due to the speed of the filter, the fitting of high-dimensional linear state space models to large datasets becomes possible. This package also contains a plot function for the visualization of the state vector and graphical diagnostics of the residuals.
Keywords for this software
References in zbMATH (referenced in 4 articles )
Showing results 1 to 4 of 4.
- Augustyniak, Maciej; Godin, Frédéric; Hamel, Emmanuel: A mixed bond and equity fund model for the valuation of variable annuities (2021)
- Michaud, N., de Valpine, P., Turek, D., Paciorek, C. J., Nguyen, D.: Sequential Monte Carlo Methods in the nimble and nimbleSMC R Packages (2021) not zbMATH
- Ruiz-Cárdenas, Ramiro; Krainski, Elias T.; Rue, Håvard: Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA (2012)
- Fernando Tusell: Kalman Filtering in R (2011) not zbMATH