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FKF.SP: Fast Kalman Filtering Through Sequential Processing

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Dolenni

  • Thomas Aspinall
  • Adrian Gepp
    Bond University
  • Geoffrey Harris
  • Simone Kelly
  • Colette Southam
  • Bruce J Vanstone
    Bond University
  • David Luethi
  • Philipp Erb
  • Simon Otziger
  • Paul Smith
Fast and flexible Kalman filtering implementation utilizing sequential processing, designed for efficient parameter estimation through maximum likelihood estimation. 'FKF.SP' was built upon the existing 'FKF' package and was designed to generally increase the computational efficiency of Kalman filtering when independence is assumed in the measurement error of observations. Sequential processing is described in the textbook of Durbin and Koopman (2001, ISBN:978-0-19-964117-8)
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StatwsCyhoeddwyd - 18 Rhag 2020
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