FKF.SP: Fast Kalman Filtering Through Sequential Processing
Research output: Other contribution
Electronic versions
Links
- https://cran.r-project.org/web/packages/FKF.SP/index.html
Final published version
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)
| Original language | English |
|---|---|
| Publication status | Published - 18 Dec 2020 |
| Externally published | Yes |