kalmanfilter

cranv2.2.0

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 Re

License GPL (>= 2)0 versions1 maintainers1 deps119 weekly dl
https://CRAN.R-project.org/package=kalmanfilter
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10/25
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3/20
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25/25
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0/15
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Rcpp
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First published · 2025-10-18 06:53:28

Last updated · 2025-10-18T05:10:09+00:00