R package. FKF: Fast Kalman Filter. This is a fast and flexible implementation of the Kalman filter, 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.
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References in zbMATH (referenced in 1 article )
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- Ruiz-Cárdenas, Ramiro; Krainski, Elias T.; Rue, Håvard: Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA (2012)