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kimfilter  

Kim Filter
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("kimfilter", "2.0.0")



Attach the package and use:
library("kimfilter")
Maintained by
Alex Hubbard
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2022-09-14
Latest Update: 2024-03-08
Description:
'Rcpp' implementation of the multivariate Kim filter, which combines the Kalman and Hamilton filters for state probability inference. The filter is designed for state space models and can handle missing values and exogenous data in the observation and state equations. 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). kimfilter: Kim Filter. R package version 2.0.0, https://cran.r-project.org/web/packages/kimfilter. Accessed 25 Oct. 2026.
Previous versions and publish date:
(2026-07-09 07:51), 1.0.0 (2022-09-14 08:00), 1.0.1 (2023-02-22 18:50), 1.0.2 (2023-09-25 23:20), 1.0.3 (2024-03-08 06:10), 1.1.0 (2025-10-18 00:10)
Other packages that cited kimfilter R package
View kimfilter citation profile
Other R packages that kimfilter depends, imports, suggests or enhances
Complete documentation for kimfilter
Functions, R codes and Examples using the kimfilter R package
Some associated functions: Rginv . contains . gen_inv . kim_filter . kimfilter-package . self_rbind . ss_prob . sw_dcf . 
Some associated R codes: RcppExports.R . data.R . kimfilter-package.R .  Full kimfilter package functions and examples
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