Package: FKF.SP 0.3.3

FKF.SP: Fast Kalman Filtering Through Sequential Processing

Fast and flexible Kalman filtering and smoothing implementation utilizing sequential processing, designed for efficient parameter estimation through maximum likelihood estimation. Sequential processing is a univariate treatment of a multivariate series of observations and can benefit from computational efficiency over traditional Kalman filtering when independence is assumed in the variance of the disturbances of the measurement equation. Sequential processing is described in the textbook of Durbin and Koopman (2001, ISBN:978-0-19-964117-8). 'FKF.SP' was built upon the existing 'FKF' package and is, in general, a faster Kalman filter/smoother.

Authors:Thomas Aspinall [aut, cre], Adrian Gepp [aut], Geoff Harris [aut], Simone Kelly [aut], Colette Southam [aut], Bruce Vanstone [aut], David Luethi [ctb], Philipp Erb [ctb], Simon Otziger [ctb], Paul Smith [ctb]

FKF.SP_0.3.3.tar.gz
FKF.SP_0.3.3.zip(r-4.5)FKF.SP_0.3.3.zip(r-4.4)FKF.SP_0.3.3.zip(r-4.3)
FKF.SP_0.3.3.tgz(r-4.5-x86_64)FKF.SP_0.3.3.tgz(r-4.5-arm64)FKF.SP_0.3.3.tgz(r-4.4-x86_64)FKF.SP_0.3.3.tgz(r-4.4-arm64)FKF.SP_0.3.3.tgz(r-4.3-x86_64)FKF.SP_0.3.3.tgz(r-4.3-arm64)
FKF.SP_0.3.3.tar.gz(r-4.5-noble)FKF.SP_0.3.3.tar.gz(r-4.4-noble)
FKF.SP_0.3.3.tgz(r-4.4-emscripten)FKF.SP_0.3.3.tgz(r-4.3-emscripten)
FKF.SP.pdf |FKF.SP.html
FKF.SP/json (API)
NEWS

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

Bug tracker:https://github.com/tomaspinall/fkf.sp/issues

Uses libs:
  • openblas– Optimized BLAS

On CRAN:

Conda:

kalman-filterkalman-filteringmaximum-likelihood-estimationsequential-processingtime-series-analysisopenblas

4.78 score 2 stars 1 packages 3 scripts 583 downloads 1 mentions 2 exports 1 dependencies

Last updated 5 months agofrom:659fedeb90. Checks:12 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 28 2025
R-4.5-win-x86_64OKMar 28 2025
R-4.5-mac-x86_64OKMar 28 2025
R-4.5-mac-aarch64OKMar 28 2025
R-4.5-linux-x86_64OKMar 28 2025
R-4.4-win-x86_64OKMar 28 2025
R-4.4-mac-x86_64OKMar 28 2025
R-4.4-mac-aarch64OKMar 28 2025
R-4.4-linux-x86_64OKMar 28 2025
R-4.3-win-x86_64OKMar 28 2025
R-4.3-mac-x86_64OKMar 28 2025
R-4.3-mac-aarch64OKMar 28 2025

Exports:fkf.SPfks.SP

Dependencies:mathjaxr

Fast Kalman Filtering using Sequential Processing

Rendered fromFKFSP.Rmdusingknitr::rmarkdownon Mar 28 2025.

Last update: 2022-10-09
Started: 2020-11-28