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><>.

Version: 1.0.3
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: 2024-03-08
DOI: 10.32614/CRAN.package.kimfilter
Author: Alex Hubbard [aut, cre]
Maintainer: Alex Hubbard <hubbard.alex at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: NEWS
CRAN checks: kimfilter results


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


Package source: kimfilter_1.0.3.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): kimfilter_1.0.3.tgz, r-oldrel (arm64): kimfilter_1.0.3.tgz, r-release (x86_64): kimfilter_1.0.3.tgz, r-oldrel (x86_64): kimfilter_1.0.3.tgz
Old sources: kimfilter archive


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