VPSPulse Mirrors
High-Performance Open-Source Archive
NEWS
#kalmanfilter 2.2
Major changes
- bug fix to kalman smoother
#kalmanfilter 2.1.1
Minor changes
- added R function kalman_filter to auto select kalman_filter_cpp or
kalman_filter_tvp_cpp
#kalmanfilter 2.1
Major changes
- added kalman_filter_tvp for time varying parameters
kalmanfilter 2.0.2
Minor changes
- updated to use sentinel “_PACKAGE”
#kalmanfilter 2.0.1
Minor changes
- Updated Rcpp Rginv function to matrix that has no positive values in
SVD.
#kalmanfilter 2.0
Minor changes
- Updated Rcpp code to handle deprecation of << assignment
operator
Major changes
- Updated Rcpp code to handle NULL values for the exogenous and weight
matrices
- Updated Rcpp code to handle cases without exogenous coefficient
matrices in the state space model
- Removed R wrapper functions
- Added Stock and Watson dynamic common factor model example to the
vignette
kalmanfilter 1.0
Bug fixes
Major changes