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.

Version: 0.1.5
Depends: R (≥ 2.8), RUnit
Imports: graphics
Published: 2018-07-20
Author: David Luethi, Philipp Erb, Simon Otziger
Maintainer: Paul Smith <paul at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: ChangeLog
In views: TimeSeries
CRAN checks: FKF results


Reference manual: FKF.pdf
Package source: FKF_0.1.5.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X binaries: r-release: FKF_0.1.5.tgz, r-oldrel: FKF_0.1.5.tgz
Old sources: FKF archive

Reverse dependencies:

Reverse suggests: highfrequency, KFKSDS


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