Last data update: 2014.03.03

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R Release (3.2.3)

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fkf (Package: FKF) : Fast Kalman filter

This function allows for fast and flexible Kalman filtering. Both, the measurement and transition equation may be multivariate and parameters are allowed to be time-varying. In addition “NA”-values in the observations are supported. fkf wraps the C-function FKF which fully relies on linear algebra subroutines contained in BLAS and LAPACK.
● Data Source: CranContrib
● Keywords: algebra, models, multivariate
● Alias: fkf
5 images

plot.fkf (Package: FKF) : Plotting fkf Objects

Plotting method for objects of class fkf. This function provides tools for graphical analysis of the Kalman filter output: Visualization of the state vector, QQ-plot of the individual residuals, QQ-plot of the Mahalanobis distance, auto- as well as crosscorrelation function of the residuals.
● Data Source: CranContrib
● Keywords: hplot
● Alias: plot.fkf
3 images