kimfilter: Kim Filter

'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" <doi:10.7551/mitpress/6444.001.0001><http://econ.korea.ac.kr/~cjkim/>.

Version: 1.0.2
Depends: R (≥ 3.5.0)
Imports: Rcpp (≥ 1.0.9)
LinkingTo: Rcpp, RcppArmadillo
Suggests: data.table (≥ 1.14.2), maxLik (≥ 1.5-2), ggplot2 (≥ 3.3.6), gridExtra (≥ 2.3), knitr, rmarkdown, testthat
Published: 2023-09-25
Author: Alex Hubbard [aut, cre]
Maintainer: Alex Hubbard <hubbard.alex at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: NEWS
CRAN checks: kimfilter results

Documentation:

Reference manual: kimfilter.pdf
Vignettes: Kim Filter for State Space Models

Downloads:

Package source: kimfilter_1.0.2.tar.gz
Windows binaries: r-devel: kimfilter_1.0.2.zip, r-release: kimfilter_1.0.2.zip, r-oldrel: kimfilter_1.0.2.zip
macOS binaries: r-release (arm64): kimfilter_1.0.2.tgz, r-oldrel (arm64): kimfilter_1.0.2.tgz, r-release (x86_64): kimfilter_1.0.2.tgz
Old sources: kimfilter archive

Linking:

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