'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 Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" tools:::Rd_expr_doi("10.7551/mitpress/6444.001.0001")http://econ.korea.ac.kr/~cjkim/.
Maintainer: Alex Hubbard hubbard.alex@gmail.com