search for: tp903589p3027907

Displaying 2 results from an estimated 2 matches for "tp903589p3027907".

New package for multivariate Kalman filtering, smoothing, simulation and forecasting
2009 Aug 19
1
New package for multivariate Kalman filtering, smoothing, simulation and forecasting
Dear all, I am pleased to announce the CRAN release of a new package called 'KFAS' - Kalman filter and smoother. The package KFAS contains functions of multivariate Kalman filter, smoother, simulation smoother and forecasting. It uses univariate approach algorithm (aka sequential processing), which is faster than normal method, and it also allows mean square prediction error matrix Ft to
New package for multivariate Kalman filtering, smoothing, simulation and forecasting
2009 Aug 19
1
New package for multivariate Kalman filtering, smoothing, simulation and forecasting
Dear all, I am pleased to announce the CRAN release of a new package called 'KFAS' - Kalman filter and smoother. The package KFAS contains functions of multivariate Kalman filter, smoother, simulation smoother and forecasting. It uses univariate approach algorithm (aka sequential processing), which is faster than normal method, and it also allows mean square prediction error matrix Ft to