Fast Kalman Filter R package FKF version 0.2.6 CRAN Task View: TimeSeries (https://CRAN.R-project.org/view=TimeSeries) This is a fast and flexible implementation of the Kalman filter and smoother, which can deal with NAs. It is entirely written in C and relies fully on linear algebra subroutines contained in BLAS and LAPACK. Due to the speed of the filter, the fitting of high-dimensional linear state space models to large datasets becomes possible. This package also contains a plot function for the visualization of the state vector and graphical diagnostics of the residuals. Software Depends: R(>= 3.5.0) Imports: graphics Suggests: knitr, rmarkdown, testthat (>= 3.0.0) Paul Smith <paul@waternumbers.co.uk> Comprehensive R Archive Network (CRAN) David Luethi [aut], Philipp Erb [aut], Simon Otziger [aut], Daniel McDonald [aut], Paul Smith [aut, cre] (ORCID: <https://orcid.org/0000-0002-0034-3412>) GPL (>= 2) 2024-09-08 application/tgz https://CRAN.R-project.org/package=FKF doi:10.32614/CRAN.package.FKF