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KFKSDS (version 1.4)

Kalman Filter, Smoother and Disturbance Smoother

Description

Naive implementation of the Kalman filter, smoother and disturbance smoother for state space models. An interface to other implementations of the filter that are available in other packages is also provided.

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Version

Install

install.packages('KFKSDS')

Monthly Downloads

9

Version

1.4

License

GPL-2

Maintainer

Javier López-de-Lacalle

Last Published

June 15th, 2014

Functions in KFKSDS (1.4)

DS

Disturbance Smoother for State Space Models
KS

Kalman Smoother for State Space Models
KF

Kalman Filter for State Space Models
KFKSDS-package

Kalman Filter, Smoother and Disturbance Smoother
KF-interfaces

Kalman Filter
predict.stsmSS

Kalman Filter for State Space Models
KFKSDS

Kalman Filter, Smoother and Disturbance Smoother