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kalmanfilter
View on CRAN: Click
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Download and install kalmanfilter package within the R console
Install from CRAN:
install.packages("kalmanfilter")
Install from Github:
library("remotes")
install_github("cran/kalmanfilter") Install by package version:
library("remotes")
install_version("kalmanfilter", "2.2.0") Attach the package and use:
library("kalmanfilter")
Maintained by
Alex Hubbard
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All associated links for this package
First Published: 2022-09-02
Latest Update: 2024-03-08
Description:
'Rcpp' implementation of the multivariate Kalman filter for state space models that can handle missing values and exogenous data in the observation and state equations. There is also a function to handle time varying parameters.
Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" .
How to cite:
Alex Hubbard (2022). kalmanfilter: Kalman Filter. R package version 2.2.0, https://cran.r-project.org/web/packages/kalmanfilter. Accessed 05 Jun. 2026.
Previous versions and publish date:
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Complete documentation for kalmanfilter
Functions, R codes and Examples using
the kalmanfilter R package
Some associated functions: Rginv . contains . gen_inv . kalman_filter . kalmanfilter-package . sw_dcf . treasuries .
Some associated R codes: RcppExports.R . data.R . kalmanfilter-package.R . Full kalmanfilter package functions and examples
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