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kalmanfilter  

Kalman Filter
View on CRAN: Click here


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
[Scholar Profile | Author Map]
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 26 Aug. 2026.
Previous versions and publish date:
(2026-07-09 07:51), 1.0.0 (2022-09-02 10:10), 2.0.0 (2022-09-21 19:10), 2.0.1 (2023-02-22 20:40), 2.0.2 (2023-09-25 23:20), 2.1.0 (2024-02-14 22:50), 2.1.1 (2024-03-08 06:00)
Other packages that cited kalmanfilter R package
View kalmanfilter citation profile
Other R packages that kalmanfilter depends, imports, suggests or enhances
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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