Package: kimfilter
Type: Package
Title: Kim Filter
Version: 1.0.3
Date: 2024-03-01
Authors@R: 
  c(person(given = "Alex", 
           family = "Hubbard", 
           role = c("aut", "cre"), 
           email = "hubbard.alex@gmail.com"))
Description: '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/>. 
License: GPL (>= 2)
Imports: Rcpp (>= 1.0.9)
LinkingTo: Rcpp, RcppArmadillo
RoxygenNote: 7.2.3
Suggests: data.table (>= 1.14.2), maxLik (>= 1.5-2), ggplot2 (>=
        3.3.6), gridExtra (>= 2.3), knitr, rmarkdown, testthat
VignetteBuilder: knitr
Encoding: UTF-8
NeedsCompilation: yes
Packaged: 2024-03-08 03:43:30 UTC; alex.hubbard
Author: Alex Hubbard [aut, cre]
Maintainer: Alex Hubbard <hubbard.alex@gmail.com>
Depends: R (>= 3.5.0)
Repository: CRAN
Date/Publication: 2024-03-08 05:10:02 UTC
Built: R 4.5.0; aarch64-apple-darwin20; 2025-04-01 09:38:26 UTC; unix
Archs: kimfilter.so.dSYM
