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FKF  

Fast Kalman Filter
View on CRAN: Click here


Download and install FKF package within the R console
Install from CRAN:
install.packages("FKF")

Install from Github:
library("remotes")
install_github("cran/FKF")

Install by package version:
library("remotes")
install_version("FKF", "0.2.6")



Attach the package and use:
library("FKF")
Maintained by
Paul Smith
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2009-02-12
Latest Update: 2024-09-08
Description:
This is a fast and flexible implementation of the Kalman filter and smoother, which can deal with NAs. It is entirely written in C and relies fully on linear algebra subroutines contained in BLAS and LAPACK. Due to the speed of the filter, the fitting of high-dimensional linear state space models to large datasets becomes possible. This package also contains a plot function for the visualization of the state vector and graphical diagnostics of the residuals.
How to cite:
Paul Smith (2009). FKF: Fast Kalman Filter. R package version 0.2.6, https://cran.r-project.org/web/packages/FKF. Accessed 05 Aug. 2026.
Previous versions and publish date:
0.0.1 (2009-02-12 09:13), 0.0.2 (2009-07-18 17:22), 0.1.0 (2009-10-19 18:16), 0.1.1 (2010-11-03 11:10), 0.1.2 (2012-03-21 08:59), 0.1.3 (2014-02-10 18:15), 0.1.4 (2018-07-13 16:50), 0.1.5 (2018-07-20 23:40), 0.1.6 (2020-06-01 21:10), 0.1.7 (2020-06-14 16:50), 0.2.1 (2021-09-28 12:50), 0.2.2 (2021-10-17 22:10), 0.2.3 (2021-12-17 17:32), 0.2.4 (2022-10-10 21:50), 0.2.5 (2024-01-30 19:00), (2026-07-09 08:03)
Other packages that cited FKF R package
View FKF citation profile
Other R packages that FKF depends, imports, suggests or enhances
Complete documentation for FKF
Functions, R codes and Examples using the FKF R package
Some associated functions: fkf . fks . plot.fkf . plot.fks . 
Some associated R codes: FKF-package.R . fkf.R . fks.R . plot.fkf.R . plot.fks.R .  Full FKF package functions and examples
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