Introduction | Example 1 - ARMA(2,1) model estimation. | Example 2 - Local level model for the Nile's annual flow: | Speed Comparison - Nile Data (10,000 iterations): | Example 3 - Tree Ring Data: | Example 4 - Fitting a Geometric Brownian Motion (GBM) to Term Structure Data: | Example 5 - Kalman smoothing:
This package is considered a duplicate. The official version of this package is found at:https://tomaspinall.r-universe.dev/FKF.SP
Package: FKF.SP 0.3.4
Thomas Aspinall
FKF.SP: Fast Kalman Filtering Through Sequential Processing
Fast and flexible Kalman filtering and smoothing implementation utilizing sequential processing, designed for efficient parameter estimation through maximum likelihood estimation. Sequential processing is a univariate treatment of a multivariate series of observations and can benefit from computational efficiency over traditional Kalman filtering when independence is assumed in the variance of the disturbances of the measurement equation. Sequential processing is described in the textbook of Durbin and Koopman (2001, ISBN:978-0-19-964117-8). 'FKF.SP' was built upon the existing 'FKF' package and is, in general, a faster Kalman filter/smoother.
Authors:
FKF.SP_0.3.4.tar.gz
FKF.SP_0.3.4.zip(r-4.7)FKF.SP_0.3.4.zip(r-4.6)FKF.SP_0.3.4.zip(r-4.5)
FKF.SP_0.3.4.tgz(r-4.6-x86_64)FKF.SP_0.3.4.tgz(r-4.6-arm64)FKF.SP_0.3.4.tgz(r-4.5-x86_64)FKF.SP_0.3.4.tgz(r-4.5-arm64)
FKF.SP_0.3.4.tar.gz(r-4.7-arm64)FKF.SP_0.3.4.tar.gz(r-4.7-x86_64)FKF.SP_0.3.4.tar.gz(r-4.6-arm64)FKF.SP_0.3.4.tar.gz(r-4.6-x86_64)
FKF.SP_0.3.4.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
FKF.SP/json (API)
| # Install 'FKF.SP' in R: |
| install.packages('FKF.SP', repos = c('https://cranhaven.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/tomaspinall/fkf.sp/issues
archivedpackagesr-universeopenblas
Last updated from:04d9804bca (on package/FKF.SP). Checks:13 OK. Indexed: no.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 123 | ||
| linux-devel-x86_64 | OK | 117 | ||
| source / vignettes | OK | 248 | ||
| linux-release-arm64 | OK | 125 | ||
| linux-release-x86_64 | OK | 113 | ||
| macos-release-arm64 | OK | 119 | ||
| macos-release-x86_64 | OK | 191 | ||
| macos-oldrel-arm64 | OK | 99 | ||
| macos-oldrel-x86_64 | OK | 211 | ||
| windows-devel | OK | 74 | ||
| windows-release | OK | 95 | ||
| windows-oldrel | OK | 79 | ||
| wasm-release | OK | 100 |
Dependencies:mathjaxr
