TY - ADVS
T1 - FKF.SP: Fast Kalman Filtering Through Sequential Processing
AU - Gepp, Adrian
AU - Harris, Geoffrey
AU - Kelly, Simone
AU - Southam, Colette
AU - Vanstone, Bruce J
A2 - Aspinall, Thomas
A2 - Luethi, David
A2 - Erb, Philipp
A2 - Otziger, Simon
A2 - Smith, Paul
PY - 2020/12/18
Y1 - 2020/12/18
N2 - Fast and flexible Kalman filtering implementation utilizing sequential processing, designed for efficient parameter estimation through maximum likelihood estimation. 'FKF.SP' was built upon the existing 'FKF' package and was designed to generally increase the computational efficiency of Kalman filtering when independence is assumed in the measurement error of observations. Sequential processing is described in the textbook of Durbin and Koopman (2001, ISBN:978-0-19-964117-8)
AB - Fast and flexible Kalman filtering implementation utilizing sequential processing, designed for efficient parameter estimation through maximum likelihood estimation. 'FKF.SP' was built upon the existing 'FKF' package and was designed to generally increase the computational efficiency of Kalman filtering when independence is assumed in the measurement error of observations. Sequential processing is described in the textbook of Durbin and Koopman (2001, ISBN:978-0-19-964117-8)
UR - https://cran.r-project.org/package=FKF.SP
UR - https://cran.r-project.org/web/packages/FKF.SP/FKF.SP.pdf
UR - https://cran.r-project.org/web/packages/FKF.SP/vignettes/FKFSP.html
M3 - Software
ER -