FKF.SP: Fast Kalman Filtering Through Sequential Processing

Thomas Aspinall (Developer), Adrian Gepp, Geoffrey Harris, Simone Kelly, Colette Southam, Bruce J Vanstone, David Luethi (Other), Philipp Erb (Other), Simon Otziger (Other), Paul Smith (Other)

Research output: Non-textual formSoftwareResearch

Abstract

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)
Original languageEnglish
Media of outputOnline
Publication statusPublished - 18 Dec 2020

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